Background: Epidemiologic research suggests that physical activity is associated with decreased prevalence of depression. However, the relationship between physical activity accumulated in various domains and depression remains unclear. Further, previous population-based studies have predominantly utilized self-reported measures of physical activity and depression symptom subscales. Associations between physical activity in various domains (leisure, work, active commuting, yard/household) and depression were examined using both subjective and objective measures of physical activity and a diagnostic measure of depression. Methods: Analyses (conducted in 2007) included data from 1995 young adults participating in a national study (2004–2006). Physical activity was measured by self-report (International Physical Activity Questionnaire) and objectively as pedometer steps/day. Depression (DSM-IV 12-month diagnosis of major depression or dysthymic disorder) was assessed using the Composite International Diagnostic Interview. Results: For women, moderate levels of ambulatory activity (>7500 steps/day) were associated with ~50% lower prevalence of depression compared with being sedentary (<5000 steps/day) (p trend=0.005). Relatively low durations of leisure physical activity (>1.25 hours/week) were associated with ~45% lower prevalence compared with the sedentary group (0 hours/week) (p trend =0.003). In contrast, high durations of work physical activity (>10 hours/week) were associated with an approximate twofold higher prevalence of depression compared with being sedentary (0 hours/week) (p trend=0.005). No significant associations were observed for steps/day in men or for other types of self-reported activity including total physical activity in both men and women. Conclusions: These findings indicate that the context in which physical activity is assessed and the measurement methods utilized are important considerations when investigating associations between physical activity and depression.