Objective To explore whether physical activity is inversely associated with the onset of depression, we quantified the cumulative association of customary physical activity with incident depression and with an increase in subclinical depressive symptoms over time as reported from prospective observational studies.Design Systematic review and meta-analysis.Data sources MEDLINE, PsycINFO, PsycARTICLES and CINAHL Complete databases, supplemented by Google Scholar.Eligibility criteria Prospective cohort studies in adults, published prior to January 2020, reporting associations between physical activity and depression.Study appraisal and synthesis Multilevel random-effects meta-analysis was performed adjusting for study and cohort or region. Mixed-model meta-regression of putative modifiers.Results Searches yielded 111 reports including over 3 million adults sampled from 11 nations in five continents. Odds of incident cases of depression or an increase in subclinical depressive symptoms were reduced after exposure to physical activity (OR, 95% CI) in crude (0.69, 0.63 to 0.75; I-2=93.7) and adjusted (0.79, 0.75 to 0.82; I-2=87.6) analyses. Results were materially the same for incident depression and subclinical symptoms. Odds were lower after moderate or vigorous physical activity that met public health guidelines than after light physical activity. These odds were also lower when exposure to physical activity increased over time during a study period compared with the odds when physical activity was captured as a single baseline measure of exposure.Conclusion Customary and increasing levels of moderate-to-vigorous physical activity in observational studies are inversely associated with incident depression and the onset of subclinical depressive symptoms among adults regardless of global region, gender, age or follow-up period.