There is a paucity of systematic analysis of the relation between sexual activity and mental health. To address this gap, we ask whether sexual activity associates with lower levels of depression among older adults. We hypothesize that sexual activity-especially if it typically incorporates other forms of physical affection-may be a socially meaningful activity and may create intimacy that provides social uplift. We test this hypothesis against alternative hypotheses that relationship characteristics or physical health could account for any association between sex and depression. In addition, we consider whether there are gender dynamics that affect the association between sexual activity and depression. We analyze data from the National Social Life, Health, and Aging Project (NSHAP), a nationally representative survey of adults aged 57 to 85. Given findings of significant gendered aspects of depression, sexual activity, social support, and aging, we estimate separate models for women and men. Although we find differences between models for men and women for many control variables that correspond to gendered differences in depression, sexual activity that typically incorporates other forms of physical intimacy has a robust association with lower depression for both women and men.