According to the main international guidelines, patients with obesity and psychiatric/psychological disorders who cannot be addressed to surgery are recommended to follow a nutritional approach and a psychological treatment. A total of 94 patients (T0) completed a battery of self-report measures: Symptom Checklist-90-Revised (SCL-90-R), Barratt Impulsiveness Scale-11 (BIS-11), Binge-Eating Scale (BES), Obesity-Related Well-Being Questionnaire-97 (ORWELL-97), and Minnesota Multiphasic Personality Inventory-2 (MMPI-2). Then, twelve sessions of a brief psychodynamic psychotherapy were delivered, which was followed by the participants completing the follow-up evaluation (T1). Two groups of patients were identified: Group 1 (n = 65), who fully completed the assessment in both T0 and T1; and Group 2-dropout (n = 29), who fulfilled the assessment only at T0 and not at T1. Machine learning models were implemented to investigate which variables were most associated with treatment failure. The classification tree model identified patients who were dropping out of treatment with an accuracy of about 80% by considering two variables: the MMPI-2 Correction (K) scale and the SCL-90-R Phobic Anxiety (PHOB) scale. Given the limited number of studies on this topic, the present results highlight the importance of considering the patient's level of adaptation and the social context in which they are integrated in treatment planning. Cautionary notes, implications, and future directions are discussed.