A pilot parallel randomized controlled trial compared a self-acceptance, non-weight-loss intervention, Accept Yourself! (AY), to a weight loss program, Weight Watchers (WW), in order to provide preliminary safety, feasibility, and efficacy data in preparation for a definitive RCT of AY as an intervention to enhance the mental and physical health of larger-bodied women with Major Depressive Disorder (MDD). Adult women with MDD and a Body Mass Index ≥30 were eligible. Nineteen women were randomized by random number table into AY (n = 9) or WW (n = 10). Intake, pretreatment, posttreatment, 3-, 6-, 9-, and 12-month follow-up assessments occurred at a rural academic medical center. Primary outcomes included depression severity and cardiovascular fitness. Chi-square and t-tests assessed attrition and participant preferences for treatment; other analyses used intention-to-treat, linear mixed-effects models for repeated measures, including all participants' available data. Both groups improved in self-reported, F(5, 43.81) = 7.45, p < .001, partial η = .38, and blinded-clinician-rated depression, F(6, 62.03) = 10.41, p < .001, partial η = .5. AY was superior to WW in self-reported depression, F(5, 43.81) = 2.72, p = .03, partial η = .11. Neither group improved in fitness. Eating disorder symptoms and weight gain worsened in WW. AY appeared safe, feasible, and offered initial evidence of efficacy for depression; it should be investigated in a definitive RCT, with modifications to increase potency. WW may not be suitable as a comparator intervention for AY because of risk to participants.