While the negative association between physical activity and depression has been well established, it is unclear what precise characteristics of physical activity patterns explain this association. Complexity measures may identify previously unexplored aspects of objectively measured activity patterns, such as the extent to which individuals show repetitive periods of physical activity and the diversity in durations of such repetitive activity patterns. We compared the complexity levels of actigraphy data gathered over 4 weeks ([Formula: see text] data points each) for every individual, from non-depressed ([Formula: see text]) and depressed ([Formula: see text]) groups using recurrence plots. Significantly lower levels of complexity were detected in the actigraphy data from the depressed group as compared to non-depressed controls, both in terms of lower mean durations of periods of recurrent physical activity and less diversity in the duration of these periods. Further, diagnosis of depression was not significantly associated with mean activity levels or measures of circadian rhythm stability, and predicted depression status better than these.