Child and adolescent obesity is increasingly the focus of interventions, because it predicts serious disease morbidity later in life. However, social environments that permit weight-related stigma and body shame may make weight control and loss more difficult. Rarely do youth obesity interventions address these complexities. Drawing on repeated measures in a large sample (N = 1443) of first-year (freshman), campus-resident university students across a nine-month period, we model how weight-related shame predicts depressive symptom levels, how being overweight (assessed by anthropometric measures) shapes that risk, and how social connection (openness to friendship) might mediate/moderate. Body shame directly, clearly, and repeatedly predicts depression symptom levels across the whole school year for all students, but overweight youth have significantly elevated risk. Social connections mediate earlier in the school year, and in all phases moderate, body shame effects on depression. Youth obesity interventions would be well-served recognizing and incorporating the influential roles of social-environmental factors like weight stigma and friendship in program design.