The present study aimed to investigate the role of abnormal body mass index (BMI, kg/m2) in the depression-CRP (C-reactive protein) relationship in a healthy middle-aged and elderly Chinese population. Analytical samples were drawn from the China Health and Retirement Longitudinal Study (CHARLS), and participants were categorized by different BMI levels. Depressive subtypes were evaluated both at baseline and follow-up using the Center for Epidemiology Studies Depression scale. Hs-CRP and other variables were measured at baseline. Multiple linear regression analyses were used to evaluate the cross-sectional and longitudinal relationship between depression and baseline hs-CRP. Depression was significantly negatively associated with BMI (ρ = -0.077, p < 0.0001), with underweight associated with worse depressive symptoms than other BMI groups. Both cross-sectional and longitudinal associations between serum hs-CRP and depressive subtypes were significantly positive in the underweight group (p < 0.05). However, in the other BMI groups (from normal weight to obesity), the CRP-depression relationship was no longer significant (p > 0.05). The significant relationship between CRP and depression in the underweight group suggested that not only obesity but also a low BMI could explain a substantial portion of the inflammation-depression link.