Objective: Although an inverse correlation between physical activity and depression among adolescents has been found in research, this relation has seldom been examined prospectively. Thus, we tested whether physical activity reduces risk for future escalations in depression and whether depression decreases likelihood of future change in physical activity. Method: Data from a longitudinal study involving annual assessments of 496 adolescent girls (mean age = 13 years, SD = 0.73) followed over a 6-year period were analyzed to address these questions. Results: Using analyses that controlled for several covariates, we found that physical activity significantly reduced risk for future increases in depressive symptoms and risk for onset of major-minor depression. Further, depressive symptoms and major-minor depression significantly reduced future physical activity. However, predictive effects were modest for both. Conclusions: Results support a bidirectional relation between exercise and depression and imply that interventions that increase physical activity may reduce risk for depression among this high-risk population. (Contains 3 tables.)