Children with low socioeconomic status and ethnic minorities experience disproportionate risk of elevated depressive symptoms. This study examines the effects of risk/protective factors for depressive symptoms among multiethnic urban preadolescents. Eighth graders (N = 463; 34% African American, 29% Hispanic, 17% White, and 20% Other/Mixed; 23% born outside of the United States) completed surveys at two urban public middle schools serving low-income neighborhoods. A linear regression model examined independent and interacting effects of gender, smoking experimentation, and physical activity on depressive symptoms. Female gender and lower physical activity were independently associated with increased depressive symptoms. A significant Gender × Smoking × Physical activity interaction indicated that physical activity was protective against depressive symptoms for girls who experimented with smoking and boys who had never smoked. Future research is needed to evaluate whether physical activity promotion is an effective health promotion target that both deters cigarette smoking and reduces depression risk among ethnically diverse preadolescents.