This study employed ordinal logistic regression analyses to investigate the relationship between American adolescents’ participation in physical activity and depressive symptomatology. Data were drawn from the second Child Development Supplement to the Panel Study of Income Dynamics (CDS II), which was conducted over 2002-2003. Fewer than 60% of adolescents were found to accumulate 60 min of moderate-to-vigorous physical activity (MVPA) outside of school hours on week or weekend days. Accumulated duration of MVPA was not, however, significantly associated with severity of depressive symptoms for either gender. Males who were not involved in sporting clubs or lessons were more likely than males who were highly involved to experience greater severity of depressive symptoms (OR = 3.24, CI = 1.33, 7.87). Results highlight gender variability in the psychosocial correlates of sporting participation and prompt further investigation of the relevance of current physical activity guidelines for mental health in adolescence.