Importance: Increasing evidence shows that physical activity is associated with reduced risk for depression, pointing to a potential modifiable target for prevention. However, the causality and direction of this association are not clear; physical activity may protect against depression, and/or depression may result in decreased physical activity. Objective: To examine bidirectional relationships between physical activity and depression using a genetically informed method for assessing potential causal inference. Design, Setting, and Participants: This 2-sample mendelian randomization (MR) used independent top genetic variants associated with 2 physical activity phenotypes - self-reported (n = 377234) and objective accelerometer-based (n = 91084) - and with major depressive disorder (MDD) (n = 143265) as genetic instruments from the largest available, nonoverlapping genome-wide association studies (GWAS). GWAS were previously conducted in diverse observational cohorts, including the UK Biobank (for physical activity) and participating studies in the Psychiatric Genomics Consortium (for MDD) among adults of European ancestry. Mendelian randomization estimates from each genetic instrument were combined using inverse variance weighted meta-analysis, with alternate methods (eg, weighted median, MR Egger, MR-Pleiotropy Residual Sum and Outlier [PRESSO]) and multiple sensitivity analyses to assess horizontal pleiotropy and remove outliers. Data were analyzed from May 10 through July 31, 2018. Main Outcomes and Measures: MDD and physical activity. Results: GWAS summary data were available for a combined sample size of 611583 adult participants. Mendelian randomization evidence suggested a protective relationship between accelerometer-based activity and MDD (odds ratio [OR], 0.74 for MDD per 1-SD increase in mean acceleration; 95% CI, 0.59-0.92; P =.006). In contrast, there was no statistically significant relationship between MDD and accelerometer-based activity (β = -0.08 in mean acceleration per MDD vs control status; 95% CI, -0.47 to 0.32; P =.70). Furthermore, there was no significant relationship between self-reported activity and MDD (OR, 1.28 for MDD per 1-SD increase in metabolic-equivalent minutes of reported moderate-to-vigorous activity; 95% CI, 0.57-3.37; P =.48), or between MDD and self-reported activity (β = 0.02 per MDD in standardized metabolic-equivalent minutes of reported moderate-to-vigorous activity per MDD vs control status; 95% CI, -0.008 to 0.05; P =.15). Conclusions and Relevance: Using genetic instruments identified from large-scale GWAS, robust evidence supports a protective relationship between objectively assessed - but not self-reported - physical activity and the risk for MDD. Findings point to the importance of objective measurement of physical activity in epidemiologic studies of mental health and support the hypothesis that enhancing physical activity may be an effective prevention strategy for depression.