Depression is a major contributor to the overall global burden of disease, with high prevalence and relapse rate. Several factors have been considered in order to reduce the depression burden. Among them, physical activity (PA) showed a potential protective role. However, evidence is contrasting probably because of the differences in PA measurement. The aim of this systematic review with meta-analysis is to assess the association between objectively measured PA and incident and prevalent depression. The systematic review was conducted according to methods recommended by the Cochrane Collaboration and the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines. Relevant papers published through 31 August 2019 were identified searching through the electronic databases PubMed/MEDLINE, Excerpta Medica dataBASE (Embase), PsycINFO, Scopus, Web of Science (WoS), and the Cochrane Library. All analyses were conducted using ProMeta3. Finally, 42 studies met inclusion criteria. The overall Effect size (ES) of depression for the highest vs. the lowest level of PA was −1.16 [(95% CI = −1.41; −0.91), p-value <0.001] based on 37,408 participants. The results of the meta-analysis showed a potential protective effect of PA on prevalent and incident depression. © 2020 by the authors. Licensee MDPI, Basel, Switzerland.