Major depression (MD) and obesity are complex genetic disorders that are frequently comorbid. However, the study of both diseases concurrently remains poorly addressed and therefore the underlying genetic mechanisms involved in this comorbidity remain largely unknown. Here we examine the contribution of common and rare variants to this comorbidity through a next-generation sequencing (NGS) approach. Specific genomic regions of interest in MD and obesity were sequenced in a group of 654 individuals from the PISMA-ep epidemiological study. We obtained variants across the entire frequency spectrum and assessed their association with comorbid MD and obesity, both at variant and gene levels. We identified 55 independent common variants and a burden of rare variants in 4 genes (PARK2, FGF21, HIST1H3D and RSRC1) associated with the comorbid phenotype. Follow-up analyses revealed significantly enriched gene-sets associated with biological processes and pathways involved in metabolic dysregulation, hormone signaling and cell cycle regulation. Our results suggest that, while risk variants specific to the comorbid phenotype have been identified, the genes functionally impacted by the risk variants share cell biological processes and signaling pathways with MD and obesity phenotypes separately. To the best of our knowledge, this is the first study involving a targeted sequencing approach toward the study of the comorbid MD and obesity. The framework presented here allowed a deep characterization of the genetics of the co-occurring MD and obesity, revealing insights into the mutational and functional profile that underlies this comorbidity and contributing to a better understanding of the relationship between these two disabling disorders.