Objective: This study explored whether young adults with major depression who are physically active differ in their depression symptom profile from those physically inactive. Methods: Analyses included data from 950 (47.6%) men and 1045 women (mean [standard deviation] age = 31.5 [2.6] years) participating in a national study. Participants reported leisure physical activity (International Physical Activity Questionnaire) and ambulatory activity (pedometer steps per day). Diagnosis and symptoms of major depression were assessed using the Composite International Diagnostic Interview. Results: Prevalence of major depression was 5.5% (n = 52) for men and 11.6% (n = 121) for women. Interactions between physical activity and sex were observed for depressed mood, appetite changes, vacillating thoughts, and suicidality (all, p < .050). Among those with major depression, physically active men were significantly less likely to endorse the presence of insomnia (prevalence ratio [PR] = 0.78, 95% confidence interval [CI] = 0.63-0.96), fatigue (PR = 0.82, 95% CI = 0.69-0.99), and suicidality (PR = 0.69, 95% CI = 0.49-0.96) compared with inactive men. Physically active women were significantly less likely to endorse hypersomnia (PR = 0.50, 95% CI = 0.27-0.95), excessive/irrational guilt (PR = 0.76, 95% CI = 0.59-0.97), vacillating thoughts (PR = 0.74, 95% CI = 0.58-0.95), and suicidality (PR = 0.43, 95% CI = 0.20-0.89) compared with inactive women. Associations were adjusted for age, physical health, educational attainment, depression severity, and other depressive symptoms. Conclusions: Among adults with major depression, those physically active seem to differ in their depression symptom profile from those physically inactive.