Prenatal depression confers health risks for both mother and family. Physical activity may promote better mental health; however, few studies have examined the influence of physical activity on prenatal depression. Data from 1,220 women enrolled in the third Pregnancy, Infection, and Nutrition Study (2001-2005) were used to examine the associations between overall and domain-specific moderate-to-vigorous physical activity (MVPA) and depressive symptoms during pregnancy. Self-reported, past week physical activity assessed at 17-22 weeks' gestation was modeled in logistic regression with self-reported depressive symptoms assessed by the Center for Epidemiologic Studies-Depression Scale at 24-29 weeks' gestation. Active women with ≤2.67 h/week of total MVPA had almost half the odds of having high depressive symptoms as compared to women with no MVPA (odds ratio [OR] = 0.56, 95% confidence interval [CI] = 0.38, 0.83). Increased odds of elevated depressive symptoms were found for women participating in some but ≤2.25 h/week of adult and child care MVPA (OR = 1.84; 95% CI = 1.08, 3.11) and >1 h of indoor household MVPA (OR = 1.63, 95% CI = 0.99, 2.70) when compared to women with no MVPA. While overall MVPA may play a role in reducing the odds of developing elevated depressive symptoms, adult and child care and indoor household activities may increase it.