Participants in this 2-year study will be divided into one of two treatment groups: one group will address weight loss and depression via nutrition, exercise, and health education and the other group will address weight loss and depression via nutrition, exercise, and behavioral counseling. Participants receiving health education will learn about women's health topics and receive tips on staying healthy and preventing disease. Participants receiving behavioral counseling will learn about depression and links between activity and mood. They will also be asked to keep a diary of moods and activities. Participants in both treatment groups will undergo the same schedule of study visits and assessments. A baseline visit will include blood tests; measurements of height, weight, waist size, and blood pressure; and completion of questionnaires about depression, eating habits, and physical activity. Next, over a 3-week period, participants will receive three phone calls asking about food intake from the previous day. In the first 6 months of the study, there will be a total of 26 weekly treatment visits. These visits will consist of ten 1-hour sessions with a counselor and sixteen 90-minute sessions with a dietician. During the next 6 months, participants will continue to meet with their dieticians monthly for a total of 6 visits and will receive monthly phone calls from their counselor. Quaterly phone calls with their counselor will continue in the second year of the study. There will be three check-in appointments similar to the baseline assessment, occurring at Month 6 and Years 1 and 2.