This study investigated the dose-response relationship between physical activity and depression. We collected data from 99,846 participants who had no medical contraindications to exercise. Using the short-form Korean version of the International Physical Activity Questionnaire, total physical activity was computed in metabolic equivalents (METs). We used the Center for Epidemiologic Studies Rating Scale for Depression to assess depressive symptoms and set a cut off score of 21. Logistic regression analyses were used to determine any relationships. To assess the effect of sex difference on the association between physical activity and depression, we stratified our data by sex. Compared with the sedentary group (0-600 METs-min/week), 1-15 times the recommended minimum physical activity was associated with a significantly lower risk of depression in all adults. The optimal range for a lower risk of depression was 2-3 times the recommended minimum. After stratifying our data by sex, we found that optimal ranges were 10-15 times the recommended minimum physical activity in men and 3-5 times in women. This study established a U-shaped dose-response relationship between physical activity and depression. The optimal range and upper threshold for anti-depression effect of physical activity were higher in men than in women.