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Background: The current study examined whether the association between body mass index (BMI) and symptoms of depression is mediated by self-reported physical health among Chinese people with multiple chronic conditions (MCCs). Methods: This was a secondary analysis based on a previous cross-sectional survey using the Hospital Anxiety and Depression Scale (HADS) and Short Form-12 (SF-12). A convenience sample of Chinese people with MCCs (n = 351) was recruited and a mediation effect model using SPSS PROCESS was employed. Results: The results showed that self-reported physical health acted as a full mediator in the association between BMI and depression only for men with MCCs. Conclusions: The findings of this study suggest that decreased physical health should be of primary importance in the management of MCCs. Further intervention addressing weight control could be a strategy of particular interest for improving the mental health of people with MCCs.