An inverse association between physical activity (PA) and mental health has been established in both cross-sectional and longitudinal research findings across the lifespan. However, the different intensities of PA and types have not consistently been evaluated as protective of mental health outcomes such as depression symptoms. The purpose of this study was to examine whether PA at varying intensities and sport participation were uniquely associated with depressive symptoms among 409 early adolescents (56% male; Mage = 11.66, SD = 0.89 years) with a family history of obesity. PA intensities (light and moderate-to-vigorous) were objectively assessed with an accelerometer worn for seven days. Sport participation and depressive symptoms were measured by self-report questionnaires. Sex-stratified regression analyses controlling for fat mass index (DXA) and fitness (VO2 Max) were used to examine the associations between PA, sport participation and depressive symptoms. The model predicting depressive symptoms among boys was significant (p < .05) with sport participation (b = -0.22, p < .01) emerging as a significant correlate. The model predicting depressive symptoms among girls was not significant. Based on these findings, intervention efforts aimed at reducing depressive symptoms among early adolescents could be directed at encouraging sport participation among boys with a family history of obesity.