Objectives: Adolescent mental disorders remain a relatively neglected area of research, despite evidence that these conditions affect youth disproportionately. We examined associations between physical activity, leisure-time screen use and depressive symptoms among Australian children and adolescents. Design: Large cross-sectional observational study. Methods: Self-reported physical activity and leisure-time screen behaviours, and depressive symptoms using the Short Mood and Feeling Questionnaire were assessed in 8256 students aged 10-16 years (mean age. =. 11.5 years, SD. =. 0.8). Results: Thirty three percent of the sample reported moderate to high depressive symptoms, with rates higher among females (OR. =. 1.18; 95% CI: 1.02, 1.36; p=. 0.001). Increased opportunities to be active at school outside class (OR. =. 0.70; 0.58, 0.85; p<. 0.001), being active in physical education classes (OR. =. 0.77; 0.69, 0.86; p<. 0.001), greater involvement in sports teams at school (OR. =. 0.77; 0.67, 0.88; p<. 0.001) and outside of school (OR. =. 0.84; 0.73, 0.96; p=. 0.01) were all independently associated with lower odds for depressive symptoms. Meeting recommended guidelines for physical activity (OR. =. 0.62; 0.44, 0.88; p=. 0.007) and, for 12-14 year olds, leisure-time screen use (OR. =. 0.77; 0.59, 0.99; p=. 0.04) were also independently associated with lower odds for depressive symptoms. Conclusions: Higher levels of physical activity among children and young adolescents, and lower levels of leisure-time screen use among young adolescents, are associated with lower depressive symptoms. Longitudinal studies are needed to understand the causal relationships between these variables.