First-year university students face unique stressors associated with the transition to university, and as a result, may adopt negative lifestyle habits including poorer sleep quality and decreased exercise. One potential outcome of these changes is depression, a complex mental disorder affecting roughly 30% of university students. However, research addressing changes in depressive symptoms and their relationship with lifestyle habits within this population is limited. The primary purpose of this study was to examine the relationship between depression scores and exercise, stress, and sleep quality, as well as how these variables change over first-year university. Two-hundred thirty-five first-year undergraduate students (181 females, 54 males) aged 17-23 years completed questionnaires examining recreational exercise, sleep quality, perceived stress and number of stressful events, and depression scores at two timepoints (September and March) during their first academic year. For both sexes, exercise levels significantly decreased, while perceived stress significantly increased. Only for females did depression scores significantly increase. For females, exercise levels and depression scores at time 1 significantly positively predicted depression scores at time 2. For males, depression scores at time 1 significantly positively predicted depression scores at time 2. These results suggest a complex relationship between exercise and depressive symptoms that differs between the sexes. First-year university females showed a significant relationship between exercise and depression scores, which may be due in part to other factors including body image, exercise efficacy, and dietary habits which have been known to affect the sexes differently, thus influencing the relationship.