Depressive disorders and obesity are highly comorbid conditions sharing genetic, metabolic, and immunological substrates. In a cross-sectional analysis of 53 participants across the obesity spectrum (lean n = 12; overweight n = 9; obese n = 32), a depression genetic risk score (d-GRS) correlated positively with BMI (ρ = 0.379, p = 0.005) and with serum CRP (ρ = 0.322, p = 0.031), consistent with the known genetic coarchitecture between depression and inflammatory traits. The d-GRS was tested against 116 flow-cytometry-derived immune parameters using Spearman rank correlation. The most consistent immune association at nominal significance (p < 0.05, uncorrected) involved the immunoregulatory CD56^brightCD16⁻ natural killer (NK) cell subset across two independent gate representations (ρ = 0.444, p = 0.004), remaining significant after sequential adjustment for BMI, sex, age, and physical activity (adjusted ρ range: 0.439–0.469), with no equivalent association for a genetically independent obesity GRS. In silico analysis of d-GRS SNP-tagged genes identified several with documented roles in NK cell trafficking, activation, and cytokine production, providing a putative mechanistic basis for this association. These findings nominate the CD56^brightCD16⁻ NK cell subset as a candidate immunological link between depression genetic susceptibility and neuroimmune mechanisms, warranting independent replication and functional characterisation in prospective cohorts.