Objective Unemployment has consistently been linked to an elevated risk for depression. Exercise, specifically leisure‐based physical activities, has received increasing attention as alternative treatment options. However, because leisure activities are pursued during discretionary time, it is unclear if the mental health benefits of physical and leisure activities apply during times of unemployment as well. Method Depressive symptoms and participation in recreational activities were assessed in 142 employed and 158 unemployed participants (age = 34 ± 11 years; male = 150). Results Independent of employment status, all recreational activities were inversely associated with depressive symptoms. However, social (employed: ηp2 = .21; unemployed: ηp2 = .11) and self‐focused (employed: ηp2 = .19; unemployed: ηp2 = .10) recreational activities were more strongly related to depressive symptoms than exercise (employed: ηp2 = .12; unemployed: ηp2 > .05). Conclusion These findings highlight the strong mental health associations of recreational activities and suggest that, particularly for unemployed individuals, promoting recreational activities, rather than exercise, may leverage the stronger negative relationship with risk of depression.