Background: Clinical depression (including major depression, dysthymia, and unspecified depression) is common in children and adolescents with obesity and overweight. The objective of this systematic review and meta-analysis was to examine prevalence of clinical depression among overweight and obese children. Methods: PubMed, EMBASE, Web of Science, Medline, Cochrane library, and PsycINFO databases were systematically and independently searched by three researchers from the inception dates to April 01, 2019. The fixed-effects model was used to perform meta-analysis. Data analyses were performed with STATA Version 12.0. Results: Eleven studies with 69,893 subjects were included; 5 studies examined major depressive disorder (MDD), while the remaining 6 studies examined other types of clinical depression. In the overweight and obese group, the prevalence of clinical depression ranged from 1.7% to 26.7% in obese subjects and from 4.0% to 16.9% in overweight subjects. In studies on MDD, prevalence ranged from 10.1% to 26.7% in obese subjects and from 9.0% to 16.9% in overweight subjects. The odd ratios (ORs) of clinical depression ranged from 0.92 to 4.39 between obese subjects and healthy controls (i.e., normal-weight controls), and ranged from 0.96 to 1.67 between overweight subjects and controls. Compared to healthy controls, obese (OR = 1.851, 95% CI: 1.410–2.429) but not overweight (OR = 1.068, 95% CI: 0.889–1.283) children and adolescents were more likely to have MDD. Conclusion: Obese children and adolescents had a significantly higher risk for MDD compared with healthy controls. Considering the negative health outcomes of depression, regular screening and effective treatments should be implemented for obese children and adolescents.