Prior studies have found that exercise has a positive effect on depressive symptoms in the general population. For older individuals, however, the association between exercise and depressive symptoms is conclusive. We examined whether regular exercise is related to depressive symptoms in 5379 Korean adults aged ≥55 years using data from a 2016 survey administered in the Korean Longitudinal Study of Aging. We used the 10-item Center for Epidemiological Studies–Depression scale to assess depressive symptoms. We performed a multivariate logistic regression analysis to investigate the relationship between regular exercise and depressive symptoms, adjusting for sociodemographic characteristics, self-rated health, number of chronic diseases, body mass index, hand-grip strength, physical disability, cognitive impairment, and health behavior. Interaction terms, including regular exercise and health-related factors, were also added. We found that a lack of regular exercise was significantly related to an increased frequency of depressive symptoms (OR = 1.18, 95% CI = 1.03–1.35). Moreover, hand-grip strength may increase the effect of regular exercise on depressive symptoms in individuals 65 years and older (OR = 1.01 vs. 1.70, 95% CI = 1.05–1.96). Our results suggest that it is important to encourage older individuals to exercise regularly as a means of relieving depressive symptoms.