Background During adolescence, young women and men frequently show low physical activity and elevated depressed affect. This study aimed to examine the within‐person link between moderate‐to‐vigorous physical activity (MVPA) and depressed affect in everyday life. Methods Within an intensive longitudinal approach, adolescents (N = 72; 37% young women; M age = 17.36 years; age range: 12–26 years; mid‐90% age range: 13–22 years) wore accelerometers to assess their daily MVPA and reported next‐morning and same‐evening depressed affect in diaries over eight consecutive days. The within‐person link between MVPA and depressed affect on the next morning (time‐lagged prediction) and the same evening (same‐day link) was analyzed with mixed‐effects models. Results More‐than‐usual MVPA significantly predicted less next‐morning depressed affect on weekdays in young women, to the extent that a 60‐min increase in MVPA over the person mean significantly predicted 50 per cent lower next‐morning depressed affect. Conclusions This study encourages the development of individually tailored physical activity interventions that could help adolescents enhance their daily amount of unstructured, self‐initiated MVPA to reduce depressed affect. This approach may be particularly suitable for young women who have the highest risk for an inactive lifestyle and elevated depressed affect.