Background/Objectives: Childhood obesity is one of the most challenging contemporary public health problems. Children and adolescents with obesity experience multiple psychosocial difficulties, such as low self-esteem, depression, anxiety, and behavioral problems, which persist for a long time. The aim of the study was to assess the effect of a multidisciplinary personalized lifestyle intervention for depressive and anxiety symptoms, as evaluated by psychometric questionnaires, and their effect and association with cardiometabolic parameters in children and adolescents with overweight and obesity conditions before and after the intervention. Methods: Six hundred and eleven (n = 611) children and adolescents (mean age ± SE: 10.39 ± 0.10 years; 51.5% females, 46.6% pubertal) were studied prospectively. Subjects were classified as being obese (50.2%), overweight (33.5%), or having a normal BMI (16.2%) according to IOTF criteria. All participants entered a 1-year lifestyle intervention program; laboratory investigations were obtained at the beginning and end of the study and two psychometric questionnaires were completed, the CDI and SCARED, which evaluate symptoms of depression and anxiety, respectively. Results: Following the lifestyle intervention, a significant decrease was noted in anxiety scores in all subjects and in depression scores in youth with obesity, as well as in adolescents with obesity, while females presented a reduced response to the intervention. Insulin resistance and metabolic syndrome parameters, cortisol, PRL, and LH concentrations were positive predictors for depressive and anxiety symptoms. Conclusions: The implementation of a multidisciplinary personalized lifestyle intervention program in the management of childhood obesity is associated with a significant decrease in cardiometabolic and psychosocial comorbidities in children with and without excess adiposity. The improvement in mental health is speculated to be mediated by an improvement in energy metabolism with subsequent improvement in neuroinflammation owing to lifestyle changes.