Objectives: Adolescence is an unsettling period in which many physical and psychological changes occur. Overweight/obesity and depression in adolescence are the problems of increasing concern in the developed/developing countries where populations are experiencing cultural transition. It was hypothesized that overweight/obese individuals with low self–efficacy would score high on depressive symptoms and vice a versa. Material and Methods: A cross–sectional study was conducted on 1520 adolescents studying in schools/colleges of Jaipur, Rajasthan to assess the prevalence of overweight/obesity. Then a correlational study was designed in which screening of overweight adolescents was done by BMI cut off. Beck’s Depression Inventory II, Sherer Self–Efficacy scale these two questionnaire were administered to 355 overweight adolescent students. Fischer exact test, spearman correlation and linear regression analyses were used to determine relationships between BMI, Self–Efficacy and Depression. Result: The study shows Prevalence of overweight and obesity in adolescents of Jaipur is 18.55% and 4.80% respectively. Study reveals a) negative correlation between BMI and Self–Efficacy with coefficient of correlation (r) –0.1769 and confidence interval (C.I.)= –0.2760 to –0.0742, b) positive correlation between BMI and Depression with (r)= 0.2105 and C.I. 0.1087nto 0.3078; c) Strong negative correlation between Self–efficacy and Depression with (r)= –0.4841 and C.I.= –0.5600 to –0.4002. Conclusion: Study concluded that as the BMI increases self–efficacy of the adolescent decreases and Beck’s Depression Inventory II Score increases. Thus, it can be said that low Self–Efficacy plays very important role in developing depression in overweight adolescents