Abstract Context Obesity and mental health issues increasingly affect children and adolescents, but whether obesity is a risk factor for mental health issues is unclear. Objective To systematically review the association between obesity and mental health issues (ie, anxiety and/or depression) among Mexican children and adolescents. Data sourcing, extraction, and synthesis A literature search of 13 databases and 1 search engine was conducted. Population, exposure, comparison, outcomes, and study design data were extracted, analyzed, and narratively synthesized. The JBI critical appraisal tool was used to evaluate evidence quality. Results A total of 16 studies with 12 103 participants between 8 and 18 years old were included. Four studies focused on anxiety outcomes, 10 on depression, and 2 on both (ie, anxiety and depression). Evidence is unclear about the association of obesity with anxiety. However, most evidence shows that Mexican children and adolescents with overweight or obesity are more likely to have depression or report a higher number of depressive symptoms than normal-weight participants. Such likelihood is greater for females. Conclusion Health promotion interventions to treat or prevent obesity could also consider mental health outcomes. Systematic Review Registration PROSPERO registration no. CRD42019154132