Abstract 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.