BACKGROUND: Actigraphy may provide a more valid assessment of sleep, circadian rhythm (CR), and physical activity (PA) than self-reported questionnaires, but has not been used widely to study the association with depression/anxiety and their clinical characteristics. METHODS: Fourteen-day actigraphy data of 359 participants with current (n = 93), remitted (n = 176), or no (n = 90) composite international diagnostic interview depression/anxiety diagnoses were obtained from the Netherlands Study of Depression and Anxiety. Objective estimates included sleep duration (SD), sleep efficiency, relative amplitude (RA) between day-time and night-time activity, mid sleep on free days (MSF), gross motor activity (GMA), and moderate-to-vigorous PA (MVPA). Self-reported measures included insomnia rating scale, SD, MSF, metabolic equivalent total, and MVPA. RESULTS: Compared to controls, individuals with current depression/anxiety had a significantly different objective, but not self-reported, PA and CR: lower GMA (23.83 vs. 27.4 milli-gravity/day, p = .022), lower MVPA (35.32 vs. 47.64 min/day, p = .023), lower RA (0.82 vs. 0.83, p = .033). In contrast, self-reported, but not objective, sleep differed between people with current depression/anxiety compared to those without current disorders; people with current depression/anxiety reported both shorter and longer SD and more insomnia. More depressive/anxiety symptoms and number of depressive/anxiety diagnoses were associated with larger disturbances of the actigraphy measures. CONCLUSION: Actigraphy provides ecologically valid information on sleep, CR, and PA that enhances data from self-reported questionnaires. As those with more severe or comorbid forms showed the lowest PA and most CR disruptions, the potential for adjunctive behavioral and chronotherapy interventions should be explored, as well as the potential of actigraphy to monitor treatment response to such interventions.