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Objective Although increased frequency of physical activity is associated with fewer depressive symptoms in African-Americans, most studies do not focus on a specific type of activity. Identifying the activity can provide helpful information for designing interventions that focus on depressive symptoms. The objective of this study was to examine the odds of depressive symptoms in relation to walking in African-Americans. Design and Sample A secondary analysis was performed on the National Survey of American Life. The sample was made up of community-dwelling African-American women (n = 1,903) and men (n = 1,075) who did not meet the DSM-IV-TR criteria for depression. Measures Walking was measured by self-reported frequency (i.e., never, rarely, sometimes, often). Depressive symptoms were measured with the Center for Epidemiologic Studies Depression scale. Logistic regression for complex samples was used to examine the odds of depressive symptoms in relation to walking. Results Women who reported often walking had lower odds for depressive symptoms than women who reported never walking (OR = 0.56, 95% CI = 0.38–0.82). Walking frequency was not related to depressive symptoms in men. Conclusions Walking frequency is a modifiable risk factor for elevated depressive symptoms in African-American women.