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Background Due to rapid urbanization, there is a need to better understand the relative roles of residential environment and physical activity in depression. We aimed to investigate whether neighbourhood characteristics are related to the presence of depressive symptoms and whether the association is modified by physical activity. Methods This cross-sectional study used the 46-year-old follow-up data (n  =   5489) from the Northern Finland Birth Cohort 1966. Data on depressive symptoms, measured by Beck Depression Inventory-II, and self-reported and accelerometer-measured physical activity were included. Neighbourhood characteristics, population density, distance to the closest grocery store, bus stops and cycle/pedestrian paths, distance to the nearest parks and forests, residential greenness and level of urbanicity were calculated using Geographic Information System methods based on participants' home coordinates. Results According to ordinal logistic regression analyses adjusted for physical activity at different intensities and individual covariates, living in a neighbourhood with higher population density and urbanicity level were associated with a higher risk of experiencing more severe depressive symptoms. Higher residential greenness was associated with a lower risk of experiencing more severe depressive symptoms after adjustment for self-reported light and moderate-to-vigorous physical activity, accelerometer-measured moderate-to-vigorous physical activity and individual covariates. Both higher self-reported and accelerometer-measured physical activity were independently associated with a lower risk of more severe depressive symptoms. Conclusions Both residential environment and physical activity behaviour play an important role in depressive symptoms; however, further research among populations of different ages is required. Our findings can be utilized when designing interventions for the prevention of depression. [ABSTRACT FROM AUTHOR]