Background: The level of physical activity (PA) and the prevalence of depression both change across the lifespan. We examined whether the association between PA and depression is moderated by age. As sense of mastery and functional limitations have been previously associated with low PA and depression in older adults, we also examined whether these are determinants of the differential effect of age on PA and depression. Methods: 1079 patients with major depressive disorder (aged 18–88 years) were followed-up after two-years; depression diagnosis and severity as well as PA were re-assessed. Linear and logistic regression analyses were used to test reciprocal prospective associations between PA and depression outcomes. In all models the interaction with age was tested. Results: PA at baseline predicted remission of depressive disorder at follow-up (OR = 1.43 [95% CI: 1.07–1.93], p =.018). This effect was not moderated by age. PA predicted improvement of depression symptom severity in younger (B = −2.03; SE =.88; p =.022), but not in older adults (B = 2.24; SE = 1.48; p =.128) (p =.015 for the interaction PA by age in the whole sample). The level of PA was relatively stable over time. Depression, sense of mastery and functional limitation were for all ages not associated with PA at follow-up. Conclusions: Age did not moderate the impact of PA on depressive disorder remission. Only in younger adults, sufficient PA independently predicts improvement of depressive symptom severity after two-year follow-up. Level of PA rarely changed over time, and none of the determinants tested predicted change in PA, independent of age.