Obesity may be considered a social stigma. In addition, people with obesity are frequently aware of stigma directed at others who have a similar weight and come to think stigmatized thoughts about themselves. Our study focused specifically on how blatant and subtle discrimination and weight self-stigma are related to depression and anxiety in people with obesity. The sample comprised 170 participants from the Clinical Nutrition Unit of the “Hospital de Valme” (Seville, Spain). The Weight Self-Stigma Questionnaire, the Multidimensional Perceived Discrimination Scale, and the Hospital Anxiety and Depression Scale were used. It was found that blatant and subtle discrimination and weight self-stigma were positively related to depression (.31, .38, and .45 respectively) and anxiety (.30, .36, and .49 respectively; all ps < .01). The path analysis conducted showed that there was a mediational effect of weight self-stigma between blatant (β = .36) and subtle discrimination (β = .40) and depression (β = .24) and anxiety (β = .49; all ps < .01). According to these results, it can be said that weight self-stigma was a full mediator in the model found because the relationships between the independent and the dependent variables were non-significant. Finally, results are discussed in the frame of the obesity stigma literature, and some clinical implications of the results of the study are suggested.