Engaging in regular moderate-intensity physical activity has been demonstrated as a successful treatment modality for both major and minor depression and as effective as pharmacologic treatments. However, less is known about the use of antenatal physical activity as a preventive modality for depression during the perinatal period. The objective of the present study was to determine if there is an association between antenatal physical activity and PPD. A cross-sectional study using the 2007-2008 Pregnancy Risk Assessment Monitoring System (PRAMS) data from Colorado and North Carolina (N = 6026) was conducted. PRAMS self-reported data are from a large randomized sample collected by the CDC that assesses maternal demographic, socio-economic, and pre-pregnancy and perinatal behaviors. Multivariable logistic regression was used to examine the relationship between antenatal sedentary behavior and PPD. Upon adjusting for maternal age, education, race, marital status, parity, stress, smoking, drinking, and prenatal care utilization, women who did not engage in antenatal physical activity were 1.34 times more likely to screen positive for PPD than women who exercised 5 or more days per week [OR 1.34; 95% CI: (1.04, 1.74); p = 0.03]. These findings suggest that not engaging in antenatal exercise may be associated with an increase risk of PPD. Further research is warranted to better understand the effects of antenatal sedentary behavior on PPD and the potential use of physical activity as a preventive modality for PPD.