Background The association between weight and depressive symptoms is well established, but the direction of effects remains unclear. Most studies rely on body mass index (BMI) as the sole weight indicator, with few examining the aetiology of the association between weight indicators and depressive symptoms. Methods We analysed data from the Twins Early Development Study (TEDS) and UK Adult Twin Registry (TwinsUK) (7658 and 2775 twin pairs, respectively). A phenotypic cross-lagged panel model assessed the directionality between BMI and depressive symptoms at ages 12, 16, and 21 years in TEDS. Bivariate correlations tested the phenotypic association between a range of weight indicators and depressive symptoms in TwinsUK. In both samples, structural equation modelling of twin data investigated genetic and environmental influences between weight indicators and depression. Sensitivity analyses included two-wave phenotypic cross-lagged panel models and the exclusion of those with a BMI <18.5. Results Within TEDS, the relationship between BMI and depression was bidirectional between ages 12 and 16 with a stronger influence of earlier BMI on later depression. The associations were unidirectional thereafter with depression at 16 influencing BMI at 21. Small genetic correlations were found between BMI and depression at ages 16 and 21, but not at 12. Within TwinsUK, depression was weakly correlated with weight indicators; therefore, it was not possible to generate precise estimates of genetic or environmental correlations. Conclusions The directionality of the relationship between BMI and depression appears to be developmentally sensitive. Further research with larger genetically informative samples is needed to estimate the aetiological influence on these associations.