Purpose This study examined the association between body mass index (BMI) changes over time and the risk of elevated depressive symptoms in a cohort of Midwestern rural adults. Methods The longitudinal study used data from a telephone survey in 2005 including 1,475 men and women enrolled in the Walk the Ozarks to Wellness Project from 12 rural communities in Missouri, Arkansas, and Tennessee. Multilevel random intercept mixed models were used to estimate adjusted odds ratios (aOR) and 95% confidence intervals (CI) for the association between BMI calculated from self‐reported height and body weight and elevated depressive symptoms, adjusting for sociodemographic, behavioral, and medical variables. Findings Elevated depressive symptoms were common in this rural population (17%‐19%) and the mean BMI was 28 kg/m2. For each unit increase in BMI over time, representing an average increase of about 5.8 pounds from baseline weight, there was a 6% increased odds of elevated depressive symptoms (aOR: 1.06, 95% CI: 1.02‐1.12). Conclusions Our findings hold important public health implications given the increasing rates of overweight and obesity over the past couple of decades, particularly among rural adults.