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Abstract Objective Mental health, sleep quality, and dietary intake are interlinked. Impairment of mental health and low sleep quality may contribute to obesity through the consumption of diets high in energy density. Nevertheless, it is not clear whether dietary energy density (DED) influences mental health. This study aimed to examine the association of DED with mental health indices, including depression, anxiety, stress, and sleep quality in women with overweight/obesity. Results There was a decreasing trajectory in serum triglyceride across quartiles of DED (from Q1 to Q4) in the crude analysis and also after adjustment for age, BMI, and physical activity After adjustment for age, BMI, and physical activity, subjects in the highest quartile of DED had higher systolic and diastolic blood pressure. DED was significantly associated with increased odds of stress in the crude (OR = 2.15, 95% CI 1.01–4.56, p = 0.04) and adjusted model for age, BMI, and physical activity (OR = 2.56, 95% CI 1.13–5.79, p = 0.02). No significant relationship was observed between DED and depression, anxiety and sleep quality. In conclusion, current study shows preliminary evidence of an association between DED and stress.