Obesity contributes to metabolic disorders such as diabetes and cardiovascular disease. Characterization of differences between the main adipose tissue depots, white (WAT) [including subcutaneous (SAT) and visceral adipose tissue (VAT)] and brown adipose tissue (BAT) helps to identify their roles in obesity. Thus, we studied depot-specific differences in whole transcriptome and miRNA profiles of SAT, VAT and BAT from high fat diet (HFD/45% of calories from fat) fed mice using RNA sequencing and small RNA-Seq. Using quantitative real-time polymerase chain reaction, we validated depot-specific differences in endoplasmic reticulum (ER) stress related genes and miRNAs using mice fed a HFD vs. low fat diet (LFD/10% of calories from fat). According to the transcriptomic analysis, lipogenesis, adipogenesis, inflammation, endoplasmic reticulum (ER) stress and unfolded protein response (UPR) were higher in VAT compared to BAT, whereas energy expenditure, fatty acid oxidation and oxidative phosphorylation were higher in BAT than in VAT of the HFD fed mice. In contrast to BAT, ER stress marker genes were significantly upregulated in VAT of HFD fed mice than the LFD fed mice. For the first time, we report depot specific differences in ER stress related miRNAs including; downregulation of miR-125b-5p, upregulation miR-143-3p, and miR-222-3p in VAT following HFD and upregulation of miR-30c-2-3p only in BAT following a HFD in mice than the LFD mice. In conclusion, HFD differentially regulates miRNAs and genes in different adipose depots with significant induction of genes related to lipogenesis, adipogenesis, inflammation, ER stress, and UPR in WAT compared to BAT.