This study investigated associations between components of physical activity (PA; e.g. domain and social context) and sedentary behaviors (SBs) and risk of depression in women from disadvantaged neighborhoods. A total of 3645 women, aged 18–45 years, from disadvantaged neighborhoods, self-reported their PA, SB and depressive symptoms. Crude and adjusted odds ratios and 95% confidence intervals were calculated for each component of PA, SB and risk of depression using logistic regression analyses, adjusting for clustering by women's neighborhood of residence. Being in a higher tertile of leisure-time PA and transport-related PA was associated with lower risk of depression. No associations were apparent for domestic or work-related PA. Women who undertook a small proportion of their leisure-time PA with someone were less likely to be at risk of depression than those who undertook all leisure-time PA on their own. Women reporting greater time sitting at the computer, screen time and overall sitting time had higher odds of risk of depression compared with those reporting low levels. The domain and social context of PA may be important components in reducing the risk of depression. Reducing time spent in SB may be a key strategy in the promotion of better mental health in women from disadvantaged neighborhoods.