Depression is an increasing public health concern with rising prevalence. Nevertheless, far from everyone seeks help or receives adequate treatment. Although psychotherapy and antidepressants still constitute the bulk of treatments offered, recent research suggests that physical activity (PA) can be a powerful adjunct therapy while sedentary behavior (SB) is a definite risk factor for developing depression. The aim of the present study was to investigate the relationship between PA, SB and depressive symptoms in a population (n = 962) of applicants for an online treatment study. This study hypothesised that there will be; (1) a positive relationship between SB and depressive symptoms, and (2) a negative relationship between PA and depressive symptoms. In addition we investigated whether the combination of a sedentary lifestyle and physical inactivity increased the risk for depressive symptoms. Finally, we also examined whether gender, age, marital status, educational level, or medication affected the relationship between PA, SB, and depressive symptoms. The results showed a positive correlation between SB and depression. There was, however, no statistically significant support for a negative relation between PA and depressive symptoms. Even though no conclusions about causality can be drawn, our results suggest that high SB, being a woman, being young, not being in a stable relationship, and current or previous medication are risk factors for depression. To be able to determine the causal direction, that is, whether high SB increases the risk for depressive symptoms, or if depressive symptoms increase the likelihood of high SB, further research is needed.