Background and Objective: The association between depression and obesity remains uncertain so far. This study aimed to investigate associations between depression and the risk of incident obesity among residents in Southwest China. Methods: A 10-year prospective cohort study of 4745 non-obese adults was conducted in Guizhou Province, southwest China from 2010 to 2020. Depression was assessed by the Patient Health Questionnaire-9 (PHQ-9) while the incident obesity was identified by waist circumference (WC) and/or body mass index (BMI). Cox proportional hazard models were used to estimate adjusted hazard ratios (aHR), and 95% confidence intervals (CIs) of depression and incident obesity. Results: A total of 1115 incident obesity were identified over an average follow-up of 7.19 years, with an incidence of 32.66 per 1000 PYs for any obesity, 31.14 and 9.40 for abdominal and general obesity, respectively. After the adjustment for covariates, risks of incident abdominal obesity for subjects with minimal (aHR: 1.22, 95%CI: 1.05, 1.43), and mild or more advanced depression (aHR: 1.27, 95%CI: 1.01, 1.62) were statistically higher than those undepressed, while there was no significant association with incident general obesity. The risks of any incident obesity among subjects with minimal (aHR: 1.21, 95% CI: 1.04, 1.40), mild or more advanced depression (aHR: 1.30, 95% CI: 1.03, 1.64) were significantly higher than those undepressed and positive association was found for PHQ score per SD increase (aHR: 1.07, 95%CI:1.01, 1.13), too. The association was stronger significantly in Han Chinese (minimal: aHR: 1.27, 95%CI:1.05, 1.52; mild or more advanced: aHR: 1.70, 95%CI:1.30, 2.21) and farmers (minimal: aHR: 1.64, 95%CI:1.35, 2.01; mild or more advanced: aHR: 1.82, 95%CI: 1.32, 2.51). Conclusions: Depression increased the risk of incident obesity among adults in Southwest China, especially among Han Chinese and farmers. This finding suggests that preventing and controlling depression may benefit the control of incident obesity.