This study examined the prospective associations of BMI, physical activity (PA), changes in BMI, and changes in PA, with depressive symptoms. Self-reported data on height, weight, PA, selected sociodemographic and health variables and depressive symptoms (CESD-10) were provided in 2000 and 2003 by 6,67 young adult women (22–27 years in 2000) participating in the Australian Longitudinal Study on Women's Health (ALSWH). Results of logistic regression analyses showed that the odds of developing depressive symptoms at follow-up (2003) were higher in women who were overweight or obese in 2000 than in healthy weight women, and lower in women who were active in 2000 than in sedentary women. Changes in BMI were significantly associated with increased odds of depressive symptoms at follow-up. Sedentary women who increased their activity had lower odds of depressive symptoms at follow-up than those who remained sedentary. Increases in activity among initially sedentary young women were protective against depressive symptoms even after adjusting for BMI changes. These findings indicate that overweight and obese young women are at risk of developing depressive symptoms. PA appears to be protective against the development of depressive symptoms, but does not attenuate the depressive symptoms associated with weight gain. However, among initially sedentary young women, even small increases in PA over time may reduce the odds of depressive symptoms, regardless of weight status.