(1) Background: Causes of obesity are multifactorial and include genetic predisposition as well as behavioural, psychological, social, and hormonal influences. We aimed to compare adult women with normal weight, overweight, and obesity, with a focus on maladaptive eating behaviours, the presence of generalised anxiety disorder, and the severity of depression. Additionally, we explored the context of anti-obesity pharmacotherapy and the status of bariatric surgery. (2) Methods: The sample was composed of 1105 adult women. The following measures, through the Computer-Assisted Web Interview (CAWI), were used in the present study: the Three Factor Eating Questionnaire (TFEQ-R18), the 7-item Generalised Anxiety Disorders Scale (GAD-7), and the 9-item Patient Health Questionnaire (PHQ-9). (3) Results: All domains of the TFEQ-R18 had correlations with Body Mass Index (BMI). There was a weak negative association between BMI and Cognitive Restraint (r = -0.172, p < 0.001) and a weak positive relationship between BMI and Uncontrolled as well as Emotional Eating (r = 0.165, p < 0.001; r = 0.191, p < 0.001, respectively). Women who screened positive for anxiety scored lower in the Cognitive Restraint domain (10.11 ± 3.58, p = 0.042) and higher in the Uncontrolled Eating (12.69 ± 6.04, p < 0.001) and Emotional Eating (5.29 ± 2.75, p < 0.001) domains. Similarly, women screening positive for depression had lower scores in Cognitive Restraint (9.88 ± 3.61, p < 0.001) and higher scores in Uncontrolled Eating (12.64 ± 6.09, p < 0.001) and Emotional Eating (5.31 ± 2.71, p < 0.001). A significant association between liraglutide and semaglutide administration and Cognitive Restraint was observed. (4) Conclusions: Individualised treatment for obesity should consider the existing and confirmed association between maladaptive eating behaviours and generalised anxiety disorder, as well as the severity of depression influencing the BMI altogether. The use of anti-obesity pharmacotherapy needs further exploration because the evidence for the use of liraglutide and semaglutide in terms of positive associations with eating behaviours is encouraging.