To investigate whether the physical activity at different intensities is correlated with depressive symptoms in college students. Patient and Methods: This cross-sectional study was a part of the Fitness Improvement Tactics in Youth Project, which was conducted in 2017. A total of 2,820 college freshmen aged 15-24 years were included in this study, of whom 699 (24.8%) were males and 2,121 (75.2%) were females. Depressive symptoms were measured using the Self-rating Depression Scale. Physical activity was assessed using the International Physical Activity Questionnaire-Short Form. Covariates included sociodemographic, lifestyle-related, and health-related factors. Results: A total of 560 (19.9%) college students had depressive symptoms. Total physical activity levels (METs•hour/week) were positively associated with frequency of breakfast intake (p = 0.050) but no other participant characteristics. Logistic regression analysis showed that the prevalence of depressive symptoms in the highest quartile of physical activity was lower than in the lowest quartile when adjusted for sex, age, ethnicity, only child, smoking status, alcohol use, breakfast frequency, daily sleep duration, body mass index, grip strength, and the number of metabolic syndrome components (odds ratios [95% confidence intervals (CI)]: 0.75 [0.58, 0.98], p = 0.036). Furthermore, high physical activity levels of low-intensity tended to moderately correlate to lower prevalence of depressive symptoms (odds ratios [95% CI]: Q1, 0.71 [0.55, 0.91], Q2, 0.77 [0.59, 1.01], Q3, 0.75 [0.57, 0.98], p for trend = 0.037). Associations of moderate and vigorous physical activity with depressive symptoms were not found. For secondary outcomes, sex-stratified analysis showed that similar findings were only found in females, but not males. Conclusion: This study indicated that total physical activity and low-intensity physical activity were inversely associated with depressive symptoms in Chinese college students. All these observations showed gender differences.