Previous studies on the effects of weight change on psychological well-being in clinical samples have yielded inconsistent results. We examined the relationship between weight change and psychological well-being as measured by the General Well-Being (GWB) scale in 3747 women aged 50 years or less at baseline using data from the NHANES I Epidemiologic Follow-up Study. Multiple logistic regression was used to estimate odds ratios while adjusting for potential confounders. Recent weight gain was associated with poorer well-being in both overweight and non-overweight women and recent weight loss with poorer well-being in non-overweight women. These findings were unchanged by controlling for age, race, marital status, employment status, education, physical activity level, number of medical conditions, alcohol use and extroversion. Thus, maintenance of stable weight may contribute to psychological well-being in women.