Background: Appetite and weight changes are core symptoms of Major Depressive Disorder (MDD), and those with MDD are at increased risk of obesity, cardiovascular disease and metabolic disorders. Leptin promotes satiety, with leptin dysregulation and resistance noted in obesity. However, the role of leptin in weight changes in MDD is not established. This study investigates leptin levels in relation to appetite and weight changes and problematic eating behaviours in MDD. Methods: Plasma leptin levels, psychopathology and biometrics were compared between participants meeting DSM-5 diagnostic criteria for MDD (n = 63) and healthy controls (n = 60). Depressed participants were also subcategorised according to increased, decreased or unchanged appetite and weight. The Dutch Eating Behaviour Questionnaire and Yale Food Addiction Scale were examined in a subset of participants with MDD. Results: Females with increased appetite/weight had higher leptin levels than those with stable or reduced appetite/weight, however males showed the opposite effect. Leptin levels were positively correlated with problematic eating behaviours. One quarter of the depressed subset, all females, met the Yale criteria for food addiction, approximately double the rates reported in general community samples. Limitations: The study is limited by a cross sectional design and a small sample size in the subset analysis of eating behaviours. Conclusions: The results provide new information about associations between leptin, sex-specific weight and appetite changes and problematic eating behaviours, which may be risk factors for cardiovascular and metabolic diseases in MDD, particularly in females. Future longitudinal research investigating leptin as a risk factor for weight gain in MDD is warranted, and may lead to early interventions aimed at preventing weight gain in at-risk individuals.