Depression often has its first onset during adolescence and is associated with obesity. Furthermore, inflammatory processes have been implicated in both depression and obesity, although research amongst adolescents is limited. This review explores associations between depression and obesity, depression and inflammation, and obesity and inflammation from a developmental perspective. The temporal relations between these factors are examined to explore whether obesity and elevated inflammation act as either risk factors for, or outcomes of, adolescent-onset depression. Sex differences in these processes are also summarized. We propose a model whereby increases in sex hormones during puberty increase risk for depression for females, which can lead to obesity, which in turn increases levels of inflammation. Importantly, this model suggests that inflammation and obesity are outcomes of adolescent depression, rather than initial contributing causes. Further research on biological and psychosocial effects of sex hormones is needed, as is longitudinal research with children and adolescents.