Introduction: Depression is a concerning mental health disorder. It is the first cause of inability worldwide, which entails high economic costs for the public system. Current evidence suggests that physical activity is an effective tool for the prevention and treatment of depressive symptoms. Objective: To examine the relationship between the cases of depressive symptoms and depression presented by the adult Spanish population and the days per week of physical activity and strength training that they perform. Design: It is a cross-sectional study with data from the European Health Survey of Spain 2020 (EESE 2020), consisting of 10,024 males and 11,126 females, between 18 and 84 years, which conformed the sample of 21,150 participants. Results: Depressive symptoms and depression were related to days of PA per week, PA frequency per week and strength training days per week (p < 0.001), depressive symptoms and depression were found to have higher prevalence in the inactive groups than in the active groups (p < 0.05); this phenomenon was found in both sexes and age groups. Conclusions: The prevalence of depressive symptoms and depression were associated with physical activity in the general population, by sex and by age group too. The prevalence of both were higher in the inactive population than in the active population of all ages and sexes. Future studies are required to confirm the relationship between PA and depression prevalence, in order to establish the scope of the effect of PA on depressive symptoms and depression.