Background: Several studies have found a strong relationship between physical activity and mental depression in older adults. Despite this, the social isolation, limited physical activity, and decreased social interactions caused by the 2020 COVID-19 pandemic control measures of “home isolation and reduction unnecessary travel” had a significant mental impact on older adults. Objective: the goal of this study was to look into the complex effects of physical activity participation on mental health in older adults during COVID-19 prevention and control and the relationship between physical activity and mental depression in older adults through the mediating effect of self-efficacy and the moderating effect of social support. Methods: The Physical Activity Rating Scale (PARS-3), the Center for Streaming Depression Scale (CES-D), the Self-Efficacy Scale (GSES), and the Social Support Rating Scale (SSRS) were used to assess 974 older adults in five urban areas of Chengdu, China. The SPSS was used to analyze the collected data using mathematical statistics, linear regression analysis, and the AMOS to construct the research model. Results: The study’s findings revealed that self-efficacy mediated the relationship between physical activity and mental depression in older adults (β = −0.101, 95%CI (−0.149, −0.058)), and social support moderated the relationship between physical activity and mental depression in older adults (t = −9.144, p < 0.01). Conclusions: Physical activity reduces psychological depressive symptoms in older adults and modulates psychological depression in older adults via the mediation efficacy of self-efficacy and the moderating effect of social support.