Aim: To analyze the association between depression severity and other fibromyalgia- (FM) related symptoms such as pain, fatigue, sleep problems, severity of the disease, activity pattern, functional capacity and quality of life. Method: The sample included 105 Spanish women with FM. Quality of life was assessed by means of the EQ-5D and symptom severity by the Fibromyalgia Impact Questionnaire. Pain, fatigue and unrestful sleep problems were assessed using 0–10 Visual Analog Scales. Activity patterns were determined by using the International Physical Activity Questionnaire while a battery of standardized field-based functional capacity tests was used to assess cardiorespiratory fitness, muscular strength, flexibility, agility and static and dynamic balance. Depression level was assessed and categorized according to the Beck Depression Inventory. Results: Sixty-two percent of the participants were depressed. Depressed patients exhibited higher pain, fatigue level, sleep problems and severity of the symptoms, reduced levels of lower limb strength and physical activity time and worse quality of life when compared with non-depressed patients (P < 0.05). A negative relationship was found between total minutes of physical activity (P = 0.001) and caloric expenditure (P = 0.026), lower flexibility (P = 0.005), hand grip strength (P = 0.026) and lower limb strength (P < 0.001). A positive relationship was detected between depression and total sitting time (P = 0.018). These results were maintained when correlations were adjusted for body mass index. Conclusions: Depressed women with FM exhibited higher symptom severity and reported worse physical fitness and quality of life than their non-depressed peers.