Whether depression contributes to weight gain or weight gain contributes to depression is a bit like the chicken and the egg question. It is difficult to determine which causes what, but either way the two are interconnected.
There are theories that suggest that depression could lead to obesity. Depression does tend to increase appetite, possibly due to eating for comfort or to fill the void. Depression also tends to increase lethargy and decrease activity. Both of these could contribute to weight gain.
However, it is just as likely that obesity could lead to depression. There is a definite anti-fat attitude prevalent within the American culture making those who are obese the butt of many hurtful and negative jokes and comments. This sigma could erode self-esteem, making people more vulnerable to depression. Obesity also limits a person's ability to participate comfortably or at all in many pleasurable activities. Again possibly contributing to depression.
Whether the chicken came first or the egg came first may not be that important. Researchers have found that weight loss can reduce depression, decrease anxiety and improve quality of life scores. This was true when the weight loss was gradual and maintain for a period of time.
On the other hand, fad diets and repeated weight loss-weight gain cycles lead to a sense of failure that can increase hopelessness and depression. Feeling hopeless and depressed can make weight reduction or maintenance difficult.
Depression obviously does not make you fat. If it did everyone who was depressed would be obese. Obesity also does not cause depression, or all large people would be depressed. But for those people who struggle with either weight or depression there is the possibility of a connection between the two.
The answer may be a two-pronged approach. It may be beneficial to work simultaneously on reducing weight and reducing depression.
Perhaps the answer is simply that eating well and exercising affects both weight and mood. Possibly it is that healthy living makes weight loss and maintenance possible. It may also be that healthy living improves self-esteem and confidence and decreases depression.
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Annoying but necessary - I'm not a Healthcare Professional so please check with your Healthcare Professional before changing anything concerning your well being.