Introduction The prevalence of depression among US adolescents has increased during the past decade. Previous studies found relationships among physical activity, sedentary behavior, and depression, but more recent information is needed to inform research and practice. We used national surveillance data to assess the association of physical activity and sedentary behavior with depressive symptoms among US high school students. Methods This study included 13,526 high school students from the 2019 Youth Risk Behavior Survey. The dependent variable was the presence of depressive symptoms in the past year that lasted almost every day for at least 2 weeks in a row and interfered with usual activities. The independent variables were physical activity (overall activity, muscle-strengthening exercises, participation on sports teams) and sedentary behavior (watching television, using a computer or digital device). We used weighted multivariable logistic regression to evaluate the association of physical activity and sedentary behavior variables with depressive symptoms, while controlling for demographic characteristics and other health behaviors. Results The prevalence of depressive symptoms was 36.7%. Participating in physical activity 5 or more days in the past 7 days (adjusted odds ratio [aOR], 0.81; 95% CI, 0.68–0.97) and participating on 1 or more sports teams in the past year (aOR, 0.66; 95% CI, 0.55–0.78) were associated with reduced odds of depressive symptoms. Using a computer or digital device for 3 or more hours per school night was associated with higher odds of reporting depressive symptoms (aOR, 1.61; 95% CI, 1.41–1.85). Conclusion Inadequate physical activity and excessive sedentary behavior are associated with depressive symptoms among US high school students. Interventions targeting physical activity and sedentary behavior may be a public health strategy to reduce depressive symptoms in this population.