Background: Promotion of physical activity (PA) is an important public health goal to reduce depression in women. Although several studies have reported an indirect relationship between physical activity and severity of depression in women across cultures and age groups, other studies have failed to establish this relationship. In this study we aim to analyse whether certain clinical and demographic variables can explain this discrepancy. Methods: Cross-sectional study with 1096 women aged 15 to 69 years who participated in the National Health Survey in Spain 2017. The chi-square test was used for qualitative variables and a logistic regression was used to determine association between PA and depression with sociodemographic characteristics. To assess possible mediation of each clinical and health variable in the association between depression and physical activity, we used the KHB command in Stata. Results: Both the crude model and models adjusted for clinical and socio-demographic variables indicated a positive association between low PA and depression. The KHB decomposition indicates that 62.21% of the association between low physical activity and depression is associated with mediational variables. Self-perception of health and the polypharmacy were the primary contributors to the mediation. Conclusion: This study supports the conclusion that depression is related to lower levels of physical activity in women. Self-perception of health and polypharmacy mediate this relationship. These results have implications for professionals who are developing interventions aimed at increasing physical activity in women experiencing depression.