The purpose of this study was to determine the associations between physical activity and depression and the multiple contextual factors influencing these associations in four major ethnic groups of midlife women in the United States. This was a secondary analysis of the data from 542 midlife women. The instruments included questions on background characteristics and health and menopausal status; the Depression Index for Midlife Women (DIMW); and the Kaiser Physical Activity Survey (KPAS). The data were analyzed using chi-square tests, the ANOVA, two-way ANOVA, correlation analyses, and hierarchical multiple regression analyses. The women’s depressive symptoms were negatively correlated with active living and sports/exercise physical activities whereas they were positively correlated with occupational physical activities (p < .01). Family income was the strongest predictor of their depressive symptoms. Increasing physical activity may improve midlife women’s depressive symptoms, but the types of physical activity and multiple contextual factors need to be considered in intervention development.