Physical inactivity is discussed as one of the most detrimental influences for lifestyle-related medical complications such as obesity, heart disease, hypertension, diabetes and premature mortality in in- and outpatients with major depressive disorder (MDD). In contrast, intervention studies indicate that moderate-to-vigorous-intensity physical activity (MVPA) might reduce complications and depression symptoms itself. Self-reported data on depression [Beck-Depression-Inventory-II (BDI-II)], general habitual well-being (FAHW), self-esteem and physical self-perception (FAHW, MSWS) were administrated in a cross-sectional study with 76 in- and outpatients with MDD. MVPA was documented using ActiGraph wGT3X + ® accelerometers and fitness was measured using cardiopulmonary exercise testing (CPET). Subgroups were built according to activity level (low PA defined as MVPA < 30 min/day, moderate PA defined as MVPA 30–45 min/day, high PA defined as MVPA > 45 min/day). Statistical analysis was performed using a Mann–Whitney U and Kruskal–Wallis test, Spearman correlation and mediation analysis. BDI-II scores and MVPA values of in- and outpatients were comparable, but fitness differed between the two groups. Analysis of the outpatient group showed a negative correlation between BDI-II and MVPA. No association of inpatient MVPA and psychopathology was found. General habitual well-being and self-esteem mediated the relationship between outpatient MVPA and BDI-II. The level of depression determined by the BDI-II score was significantly higher in the outpatient low- and moderate PA subgroups compared to outpatients with high PA. Fitness showed no association to depression symptoms or well-being. To ameliorate depressive symptoms of MDD outpatients, intervention strategies should promote habitual MVPA and exercise exceeding the duration recommended for general health (≥ 30 min/day). Further studies need to investigate sufficient MVPA strategies to impact MDD symptoms in inpatient settings. Exercise effects seem to be driven by changes of well-being rather than increased physical fitness.