We examined the effects of two physical activity modes on depressive symptoms over a 5-year period among older adults and change in physical self-esteem as a mediator of changes in depressive symptoms. Formerly sedentary, older adults (N = 174) were randomly assigned into 6-month conditions of either walking or low-intensity resistance/flexibility training. Depressive symptoms and physical self-esteem were measured before and after the 6-month intervention, and 12 and 60 months after intervention initiation. Depressive symptoms scores were decreased immediately after the intervention, followed by a sustained reduction for 12 and 60 months after intervention initiation; there was no differential pattern of change between the physical activity modes. Change in physical self-esteem predicted change in depressive symptoms. This study supports the effectiveness of an exercise intervention for the sustained reduction of depressive symptoms among sedentary older adults and physical self-esteem as a potential mediator of this effect.