Importance Physical activity (PA) may have a positive effect on depressed mood. However, whether it can act as a protective factor against developing depressive symptoms in adolescence is largely unknown. Objective To investigate the association between objectively measured PA and depressive symptoms during 3 years of adolescence. Design, Setting, and Participants We performed a longitudinal study between November 1, 2005, and January 31, 2010, of a community-based sample from Cambridgeshire and Suffolk, United Kingdom, that included 736 participants (mean [SD] age, 14.5 years [6 months]). The follow-up period was approximately 3 years after baseline (the ROOTS study). Linear regression models were fitted using physical activity energy expenditure (PAEE) and moderate and vigorous physical activity (MVPA) as the predictors and depressive symptoms as the outcome variable. Binomial logistic regression models were also fitted using PAEE and MVPA as the predictors and clinical depression as the outcome measure. Exposures Exercise. Main Outcomes and Measures Individually calibrated heart rate and movement sensing were used to measure PA at baseline only. Physical activity summary measures included total PAEE and time spent in MVPA. These measures were divided into weekend and weekday activity. All participants also completed the Mood and Feelings Questionnaire, a self-report measure of current depressive symptoms, and took part in a Schedule for Affective Disorders and Schizophrenia for School-Age Children–Present and Lifetime Version interview at baseline and 3 years later. Results Depressive symptoms at 3-year follow-up were not significantly predicted by any of the 4 PA measures at baseline: weekend MVPA (unstandardized β = 0.02; 95% CI, −0.15 to 0.20; P = .79), weekday MVPA (β = 0.00; 95% CI, −0.17 to 0.17; P = .99), weekend PAEE (β = 0.03; 95% CI, −0.14 to 0.20; P = .75), and weekday PAEE (β = −0.03; 95% CI, −0.20 to 0.14; P = .71). This was also true for major depressive disorder diagnoses at follow-up: weekend MVPA (odds ratio [OR], 1.37; 95% CI, 0.76-2.48; P = .30), weekday MVPA (OR, 1.33; 95% CI, 0.74-2.37; P = .34), weekend PAEE (OR, 1.19; 95% CI, 0.67-2.10; P = .56), and weekday PAEE (OR, 0.92; 95% CI, 0.52-1.63; P = .78). Conclusions and Relevance No longitudinal association between objectively measured PA and the development of depressive symptoms was observed in this large population-based sample. These results do not support the hypothesis that PA protects against developing depressive symptoms in adolescence.