Background: The relationship binding body weight to psychological well-being is unclear. The present study aims at identifying the contribution, and specificity, of some dimensions (i.e., eating-related symptoms, body image disorders, eating habits, personality traits, and emotional difficulties) characterizing the psychological profile of obese adolescents (749 participants, 325 females; 58.3% normal-weight, 29.9% overweight, and 11.7% obese; mean age = 16.05, SD = 0.82). Methods: By introducing the scores obtained by standardized self-report tools into a generalized linear model, a factorial reduction design was used to detect the best fitting discriminant functions and the principal components explaining the higher proportion of the variance. Results: We found two discriminant functions correctly classifying 87.1% of normal-weight, 57.2% of overweight, and 68.2% of obese adolescents. Furthermore, two independent factors, explaining 69.68% of the total variance, emerged. Conclusions: The first factor, “Body Image Concerns”, included the drive for thinness, body dissatisfaction, and interpersonal distrust. The second factor, “Selective Depersonalization”, included a trend toward depersonalization and dissatisfaction with the torso. The neurophysiological implications of our findings will be discussed.