"People should not expect weight loss to instantly improve all aspects of life," say the researchers.
The study, which is published in the journal PLOS ONE, looked at 1,979 overweight and obese people in the UK.
It found that people who lost 5% or more of their original weight over 4 years showed significantly improved physical health. However, these people were more likely to report low mood than participants who stayed within their initial weight.
In the study, 14% of the participants lost at least 5% of their body weight - the mean weight loss was 6.8 kg per person.
Adjusting their results to take into account serious health issues and major life events that might cause weight loss and depressed mood, the researchers calculated that the participants who lost weight were 52% more likely to report symptoms of depression.
Lead author Dr. Sarah Jackson, of University College London's Epidemiology and Public Health department, says:
"We do not want to discourage anyone from trying to lose weight, which has tremendous physical benefits, but people should not expect weight loss to instantly improve all aspects of life."
She adds that "aspirational advertising by diet brands" may set unrealistic expectations about weight loss by offering what appear to be instant life improvements. Dr. Jackson advises that people should be realistic about weight loss and be prepared for the challenges:
"Resisting the ever-present temptations of unhealthy food in modern society takes a mental toll, as it requires considerable willpower and may involve missing out on some enjoyable activities. Anyone who has ever been on a diet would understand how this could affect well-being.
However, mood may improve once target weight is reached, and the focus is on weight maintenance. Our data only covered a 4-year period so it would be interesting to see how mood changes once people settle into their lower weight."
She also says that health care professionals should monitor both the physical and mental health of patients when recommending weight loss and offer ongoing support as needed.
What were the study's limitations?
Although the researchers attempted to factor in major life events that could confound results, such as bereavement, which is known to be associated with both weight loss and depression, they acknowledge that data on this was limited.
The bereavement data only covered parents and spouses during the study, and did not take into account deaths of children, close friends or non-marital partners, or the deaths of parents or spouses shortly before the study commenced.
Another major life event that the study did not have data for that could have caused weight loss and depression was job loss.
The study participants were predominantly white, older adults. It is possible, therefore, that the effects of weight loss might be different among different ethnic groups or younger adults.
Also, the researchers admit problems with the measure of well-being used in the study, explaining:
"The use of an arbitrary, unvalidated threshold to indicate low levels of well-being is also problematic, and we observed some differences in results when well-being data were analyzed continuously, so these results should be interpreted with caution."
In 2012, Medical News Today reported on a study that found a gene associated with obesity is also linked to an 8% decrease in a person's chance of developing depression.