Engaging in physical activity is known to reduce depressive symptoms. However, little is known which behavioral factors are relevant, and how patterns of activity change during depressive episodes. We expected that compared to controls, in depressed individuals the level of activity would be lower, the amplitude of 24-h-actigraphy profiles more dampened and daytime activities would start later. We used 14-day continuous-actigraphy data from participants in the Netherlands Study of Depression and Anxiety (NESDA) who participated in an ambulatory assessment study. Participants with a depression diagnosis in the past 6 months (n = 58) or its subsample with acute depression (DSM diagnosis in the past 1 month, n = 43) were compared to controls without diagnoses (n = 63). Depression was diagnosed with a diagnostic interview. Actigraphy-derived variables were activity mean levels (MESOR), the difference between peak and mean level (amplitude) and the timing of the activity peak (acrophase), which were estimated with cosinor analysis. Compared to the control group, both depression groups (total: B = −0.003, p = 0.033; acute: B = −0.004, p = 0.005) had lower levels of physical activity. Amplitude was also dampened, but in the acute depression group only (total: B = −0.002, p = 0.065; acute: B = −0.003, p = 0.011). Similarly, the timing of activity was marginally significant towards a later timing of activity in the acute, but not total depression group (total: B = 0.206, p = 0.398; acute: B = 0.405, p = 0.084). In conclusion, our findings may be relevant for understanding how different aspects of activity (level and timing) contribute to depression. Further prospective research is needed to disentangle the direction of the association between depression and daily rest-activity rhythms.