Background: Obesity and mental disorders are associated with gut microbiota dysbiosis and gut–brain axis dysfunction. This secondary analysis evaluated the effects of a 12-week weight loss program (WLP) based on a hypocaloric traditional Mexican diet (TMD) and moderate-intensity exercise on gut microbiota, body composition (BC), and metabolic parameters in Mexican adults with obesity with and without depression and anxiety symptoms. Methods: A total of 106 adults with obesity were classified based on the presence or absence of depressive and anxiety symptoms into an obesity control group without symptoms (OCG), improved symptoms (OIS), and persistent symptoms (OPS). Stool samples were analyzed by sequencing the V3–V4 region of the 16S rRNA gene. Longitudinal changes in serum biochemistry, BC, intestinal permeability markers, and gut microbiota were analyzed using linear mixed-effects models. Differential taxa were identified using linear discriminant analysis effect size (LEfSe), and associations between bacterial genera, biochemical variables, and dietary components were explored using MaAsLin 2. Results: The WLP significantly improved metabolic, inflammatory, intestinal permeability, and BC markers, as well as depressive and anxiety symptoms, although participants remained in WHO grade I obesity. These improvements were accompanied by selective, group-dependent modulation of bacterial genera rather than broad microbiota restructuring. LEfSe identified 22 taxonomic biomarkers: 16 in OPS, 5 in OIS, and 1 in OCG. Conclusions: The culturally adapted WLP, which combined a hypocaloric TMD with exercise, promoted improvements in metabolism and BC in all participants, along with group-specific gut microbiota remodeling that may be associated with differential changes in depressive and anxiety symptoms in the context of persistent obesity.