This review summarizes studies on the psychological effects of weight cycling (i.e., weight loss and regain) in obese persons and proposes an agenda for future research on this topic. Among general psychological constructs, the current literature suggests that weight cycling is not associated with depression, other psychopathology, or depressogenic cognitive styles. Weight cycling is associated with decreased perceptions of health and well-being, although the clinical significance of this relationship is uncertain. Among weight- and eating-related constructs, weight cycling does not appear to be related to restraint, hunger, or personality traits associated with eating disorders. Weight cycling, however, does appear to be associated with clinically significant reductions in eating self-efficacy and weak but consistent increases in binge eating severity. Definitive conclusions about the presence or absence of the psychological consequences of weight cycling are premature, given the small number of studies, as well as a variety of methodological and interpretive concerns. A new generation of research is necessary to determine the extent and nature of the psychological sequelae of weight cycling.