Background: Although many studies support an inverse association between physical activity (PA) and depressive symptoms, prospective relationships between these variables have been confounded by pre-existing psychological and physical health problems. Methods: This study examined the dose-response relationships between self-reported PA and depressive symptoms, using cross-sectional and prospective data from a population-based cohort of middle-aged women who participated in the Australian Longitudinal Study on Women's Health (ALSWH) between 1996 and 2001. Participants completed three mailed surveys (S1, 1996; S2, 1998; S3, 2001), which included questions about time spent in walking, moderate- and vigorous-intensity PA, and measures of psychological health (Center for Epidemiologic Studies Depression scale [CESD-10], and Mental health [MH] subscale of the Short Form 36 survey). Relationships between previous (S1, S2), current (S3), and habitual (S1, S2, S3) PA and "depressive symptoms" were examined, adjusting for sociodemographic and health-related variables (n=9207). Results: Mean CESD-10 scores decreased, and MH scores increased with increasing levels of previous, current, and habitual activity. Odds ratios for CESD-10 scores <10 or MH scores ≤52 at S3 were 30% to 40% lower among women who reported the equivalent of <60 minutes of moderate-intensity PA per week, compared with those who reported less PA than this. Women who were in the lowest PA category at S1, but who subsequently reported <240 metabolic equivalent minutes (MET.mins) per week had lower odds of CESD-10 scores of <10 or MH scores ≤52 at S3 than those who remained in the very low PA category. Conclusions: These data suggest that there is a clear relationship between increasing PA and decreasing depressive symptoms in middle-aged women, independent of pre-existing physical and psychological health.