Objectives Obesity consistently predicts depression risk, but the underlying mechanisms are poorly understood. Body concerns are proposed as key. South Korean society is characterized by extremely high levels of explicit weight stigma, possibly the highest globally. Using cross‐sectional Korean 2014 National Health Examination Survey (KNHANES) data, we test this proposition in a nationally representative sample of South Korean adults (N = 5,632). Methods Depressive symptoms (outcome variable), was based on the PHQ‐9. Weight status (predictor variable), was based on direct measures of height and weight converted to BMI. Weight concern was self‐reported. Mediation analyses tested how weight concern mediated the influence of weight status on depressive symptoms for women and men. Results Current weight status influenced depressive symptoms in Korean adults, but not always directly. Concerns of being “fat” mediated that relationship. The effect increased significantly as BMI increased within “normal” and overweight/obese categories for women, and in overweight/obese categories for men. Even though women classified as underweight were significantly more depressed than those in other weight categories, there was no similar mediation effect related to weight concerns. Conclusion For South Koreans, the stress of adhering to social norms and avoiding stigma related to body weight seems to explain the relationship between higher body weight and more depressive symptoms. Women are more vulnerable overall, but men are not immune. This study demonstrates that body concerns help explain why weight predicts depression, and more broadly supports the proposition that widespread weight‐related stigma is a potentially major, if unrecognized, driver of population‐level health disparities.