Physical activity (PA) can protect against depression, but few studies have assessed whether meeting PA guidelines is sufficient, or if benefits can be derived from greater volumes of PA. The present study examines cross-sectional and prospective associations between different volumes of moderate-to-vigorous PA (MVPA) and walking, and depressive symptoms and status. Participants (n = 4556; 56.7% female) aged >= 50 years completed the International PA Questionnaire (IPAQ) at baseline and the Center for Epidemiological Studies Depression Scale at baseline and two years later. Prevalence and incidence of depression were 9.0% (n = 410) and 5.0% (n = 207), respectively. After full adjustment, odds of prevalent depression were: 40% (OR = 0.60, 95% CI: 0.48-0.76) lower among those meeting PA guidelines; 23% (OR = 0.77, 0.49-1.21) and 43% (OR = 0.57, 0.45-0.73) lower among those in moderate and high categories, respectively; and, 22% (OR = 0.78, 0.61-1.01) and 44.0% (OR = 0.56, 0.42-0.74) lower among those in moderate and high walking tertiles, respectively. Odds of incident depression were: 23% (OR = 0.77, 0.58-1.04) lower among those meeting PA guidelines; 37% (OR = 0.63, 0.32-1.22) and 20.0% (OR = 0.80, 0.59-1.09) lower among those in moderate and high categories, respectively; and, 21% (OR = 0.79, 0.56-1.12) and 25% (OR = 0.75, 0.52-1.07) lower among those in moderate and high walking tertiles, respectively. Moderate and high volumes of MVPA were significantly associated with lower odds of concurrent depression, and significantly and non-significantly associated with reduced odds of incident depression, respectively. Meeting recommended levels of MVPA and walking were associated with significantly lower odds of concurrent depression, and non-significantly reduced odds of the development of depression over two years.