Introduction: Depression is a disabling mental illness and therefore also a serious public health problem. It affects 5% of the adult population in the world and is the leading cause of disability, with an annual cost of USD one trillion. In Spain, its prevalence is 13.4%, costing EUR 6000 million a year. Physical inactivity has been linked to an increase in depressive symptoms, with physical activity associated with an improvement in health-related quality of life. Objective: To calculate the odds ratio (OR) and relative risk (RR) of suffering from depression and taking antidepressants in the inactive Spanish population compared to groups with a higher level of physical activity. Method: 17,141 individuals aged 18-69 years residing in Spain and interviewed in the 2017 Spanish National Health Survey were included in this cross-sectional investigation. Results: Dependence relationships were found between the level of physical activity and the prevalence of depression and taking antidepressants (p < 0.001). We found elevated ORs and RRs for depression and antidepressant use in inactive people compared to those with a high/very high level of physical activity (Depression: OR: 4.32. CI95%: 3.35-5.57. RR: 1.59. 95% CI: 1.51-1.68; Antidepressants: OR: 4.95. CI95%: 3.59-6.82. RR: 1.61. CI95%: 1.52-1.71). Conclusions: Belonging to an inactive population group increases the risk of suffering from depression and of taking antidepressants.