Background: The frequency of mental illness amongst adolescents and its potential long-term consequences make it an important topic to research in relation to risk and protective factors. Research on the relationship between physical activity and depressive symptoms in adolescents is limited. There is a particular lack of evidence from longitudinal studies. This study examines the relationship between depression and physical activity using the Research with East London Adolescents: Community Health Survey (RELACHS). Methods: This was a prospective cohort study. Participants were recruited from three Local Education Authority boroughs in East London in 2001 from year 7 (aged 11-12) and year 9 (aged 13-14) and were followed-up in 2003. All pupils in the 28 schools that took part were eligible for the study. Of the total 3,322 pupils eligible for the survey the overall response rate was 84% (2,789 pupils). A total of 2,093 (75%) pupils were also followed-up in 2003. The sample was multiethnic (73% of respondents were non-white) and deprived. Just under half of the sample was male (49%). Depressive symptoms were measured using the Short Moods and Feelings Questionnaire (SMFQ). Logistic regression analyses were used to examine the association between physical activity and depressive symptoms both cross-sectionally and longitudinally. Results: After adjustments, there was evidence for a cross-sectional association between physical activity and depressive symptoms for both boys and girls at baseline, with a decrease in the odds of depressive symptoms of about 8% for each additional hour of exercise undertaken per week (boys: odds ratio (OR) = 0.92, 95% CI 0.85 to 0.99; girls: OR = 0.92, 95% CI 0.85 to 1.00). There was no evidence for an association between a change in physical activity from baseline to follow-up and depressive symptoms at follow-up. Conclusions: This study provides some evidence for an association between level of physical activity and decreased depressive symptoms in adolescents. Further longitudinal research of these associations is required before physical activity can be recommended as an intervention for depression in adolescents.