“Yo-yo” dieting, or weight cycling, is defined as weight loss followed by subsequent regain of the lost weight. It is a phenomenon most often seen in overweight or obese individuals, but those who do not need to lose weight, such as athletes, actors, and models, also practice it. This review critically examines the recent literature on weight cycling with respect to metabolic changes, cardiovascular health, chronic disease, mortality, osteoporosis, and immunocompetence. No consistent positive association was found between weight cycling and metabolic changes, cardiovascular health, chronic disease, and mortality. Studies show possible harmful effects for large weight regains and some cardiovascular risk factors and type 2 diabetes in overweight/obese individuals. Harmful metabolic changes may also occur in young, normal weight women who do not need to lose weight, but this finding needs to be repeated. Preliminary studies also show possible bone density loss in weight cyclers as well as decreased immune function.