In this study we investigated how different domains of physical activity are associated with depressiveness among women, and how individual variables moderate this relationship. Participants were 956 women, and the data were collected by mail-out survey using the Global Physical Activity Questionnaire, Beck Depression Inventory, and International Personality Item Pool. Lower depressiveness was related to higher leisure time physical activity and to lower occupational physical activity. Income, health problems, level of neuroticism, and extraversion had strong effects on depressiveness, and mediated the link between the leisure and occupational activities and depression.