Emotion dys‐regulation is thought to be involved in the development and maintenance of emotional eating (EE), notably through its links with anxious and depressive symptoms. AIM: The aims of the study were to: (a) examine the mediating effect of depressive and anxious symptoms on the relationship between emotion dys‐regulation and EE in obesity and (b) compare those links with various degrees of obesity severity. One hundred and twenty patients with obesity, including 60 with “n” (MO) (30 ≤ BMI < 40) and 60 with “severe obesity” (SO) (BMI > 40), completed self‐report measures of emotion dys‐regulation, depression, anxiety and EE. Partial least square structural equation modelling and multi‐group analyses were performed. Emotion dys‐regulation was found to be significantly associated with EE only when the severity of obesity was taken into account. In addition, although the MO and SO groups reported similar levels of emotional and eating disorders, significant differences were found between the groups in pathways leading to EE. In MO, emotion dys‐regulation was only associated with more EE through more anxiety. In SO, emotion dys‐regulation was both directly and indirectly associated with more EE, but only through more depression in the latter. Emotion dys‐regulation, anxiety and depression do not have the same impact on EE depending on the severity of obesity. Psychotherapeutic interventions should aim at reducing emotion dys‐regulation in obesity from MO onwards, but the focus should be on the management of anxiety‐related affects in MO and depression‐related affects in SO.