Several studies have focused their attention on metabolic alterations, chiefly cholesterol plasma levels, related to depression, showing contrasting data. The aim of this study was at evaluating the correlation between anthropometric, metabolic parameters and depression in malnourished aged patients. We included 73 elderly subjects (mean age 79.15 ± 15.3; 40 females and 33 males) age- and sex-matched; 48 patients of this poof were malnourished. All subjects underwent a complete anthropometric and biochemical nutritional assessment as well as a psychometric examination, using the mini mental state examination (MMSE), the geriatric depression scale (GDS) and self-sufficiency tests in form of the activity of daily living (ADL) as well as the instrumental for of it (IADL). Student's t test and linear regression analysis were carried out for statistical analysis. Malnourished subjects showed higher values in GDS scores than controls (p = 0.03), without statistically significant differences in the MMSE scores and cholesterol levels of the two groups, while in depressed group we found lower sideremia (p < 0.0001), higher triglycerides (p < 0.05), and insulinemia (p < 0.001) and impaired self sufficiency (p = 0.001). Linear regression analysis showed a strict correlation between GDS and triglycerides (r = 0.387, p = 0.03), centripetal adipose tissue distribution parameters (r = 0.678, p < 0.0001), triceps skinfold (r = 0.473, p = 0.008) and sideremia (r = −0.538, p = 0.001). Our data suggest that depression is closely related to malnutrition and to ensuing metabolic alterations, too. The direct correlation between GDS scores and metabolic disorders in these patients can be explained by previous reports supporting the hypothesis that cytokines could have a primary role both in malnutrition and in affective disorders.