This study explores whether the male and female depression symptom profile varies by levels of physical activity. Results were in favour of physical activity. Among those with major depression, active men were less likely to endorse the presence of insomnia, fatigue, and suicidality compared with inactive men. Active women were less likely to endorse hypersomnia, excessive/irrational guilt, vacillating thoughts, indecisiveness and suicidality compared with inactive women. Increasing duration of physical activity was associated with decreased symptom severity over a range of symptoms including fatigue, sleep disturbance, worthlessness/guilt and suicidality.