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Obesity has become an increasingly widespread endemic with social implications; however, the relationship between higher body mass index (BMI) and psychological functioning is still not fully understood. This study examined the differences in affect-related psychological variables among BMI classes. A total of 134 adults seeking treatment for obesity and 124 controls completed a set of questionnaires to assess: trait emotional intelligence, emotion regulation strategies, anxiety, depression, binge eating behaviors and happiness. Correlations and multivariate analysis of variance were run per each study variable controlling for BMI class (normal weight, overweight, or obesity class I, II, III). Individuals with obesity class III were characterized by reduced trait emotional intelligence and happiness, and a higher tendency to use emotion suppression compared to normal weight individuals. All individuals with obesity also showed higher levels of depression and binge eating behaviors compared to both normal weight and overweight adults. Depression and emotion suppression were the most relevant discriminant factors across BMI classes, while trait emotional intelligence resulted as an important psychological factor clustering individual differences between obese and non-obese individuals. These results suggest that more attention to the affective domain of psychological functioning is needed for proper and comprehensive treatment of obesity.