Purpose: Obesity has been associated with an increased risk of the depression in the general population, but it is unknown whether this relationship applies equally to immigrants as well as non-immigrants. Furthermore, the nature of the relationship is uncertain, is it direct or curvilinear? The aim of this study is to examine the relationship between body mass index and major depressive episode among immigrants and non-immigrants. Methods: To provide more statistically robust data, a series of cross-sectional health surveys of the Canadian population for the 5 years 2010–2014 were pooled to increase the number of immigrants in the study. Restricted cubic splines analysis was used to examine the nature of the association. Results: Immigrants had lower 12-month depression and obesity prevalence rates than non-immigrants. In addition, it was found that non-immigrants were more likely to develop depression than immigrants, OR = 1.40 (95% CI, 1.16–1.67). Obese respondents were more likely to develop depression than normal weight respondents in both immigrant (OR = 1.55; 95% CI, 1.03–2.32) and non-immigrant groups (OR = 1.23; 95% CI, 1.15–1.32). A significant nonlinear elongated J-shaped association between obesity and depression was found for both immigrants and non-immigrants with increased risk of depression in obese individuals. Conclusion: Culture-specific, clinical-based interventions should be developed to improve the early identification, treatment and recovery of individuals with a high BMI particularly among those with BMIs in the obese range.