BackgroundFew studies have examined depression after a cancer diagnosis and before initiating adjuvant or neoadjuvant systemic treatments. In this study, we present baseline data on device‐measured physical activity, sedentary behaviour, depression, happiness, and satisfaction with life in newly diagnosed breast cancer survivors.PurposeTo examine associations of accelerometer‐assessed physical activity and sedentary time with depression symptoms and prevalence, happiness, and satisfaction with life.MethodsShortly after diagnosis, 1425 participants completed depression, happiness, and satisfaction with life measures and wore an ActiGraph® device on their hip to measure physical activity and the activPALTM inclinometer on their thigh for 7 days to measure sedentary time (sitting/lying) and steps (1384 completed both device measures). ActiGraph® data were analysed using a hybrid machine learning method (R Sojourn package, Soj3x), and activPALTM data using activPALTM algorithms (PAL Software version 8). We used linear and logistic regression to examine associations of physical activity and sedentary time with depression symptom severity (0–27) and depression prevalence, happiness (0–100), and satisfaction with life (0–35). For the logistic regression analysis, we compared participants with none‐minimal depression (n = 895) to participants with some depression (that is, mild, moderate, moderately‐severe, or severe depression [n = 530]).ResultsParticipants reported a mean depression symptom severity score of 4.3 (SD = 4.1), a satisfaction with life score of 25.7 (SD = 7.2), and a happiness score of 70 (SD = 21.8). Higher moderate‐to‐vigorous physical activity (MVPA) was associated with reduced depression symptom severity scores (β = −0.51, 95% CI: −0.87 to −0.14, p = 0.007). A 1 hour increase in MVPA was associated with a reduced odds of at least mild or worse depression by 24% (Odds Ratio [OR] = 0.76, 95% CI: 0.62–0.94, p = 0.012). Higher daily step counts were associated with lower depression symptom severity scores (β = −0.16, 95% CI: −0.24 to −0.10, p < 0.001). Perceptions of happiness was associated with higher MVPA (β = 2.17, 95% CI: 0.17–4.17, p = 0.033). Sedentary time was not associated with depression severity, but higher sedentary time was associated with lower perceptions of happiness (β = −0.80, 95% CI: −1.48 to −0.11, p = 0.023).ConclusionsHigher physical activity was associated with fewer depression symptom severity scores and reduced odds of mild or worse depression in women newly diagnosed with breast cancer. Higher physical activity and daily step counts were also associated with stronger perceptions of happiness and satisfaction with life, respectively. Sedentary time was not associated with depression symptom severity or odds of having depression, but was associated with stronger perceptions of happiness.