Depression is commonly associated to physical multimorbidity and there is an urgent need to identify modifiable risk factors. Physical activity (PA) is good for health, but the association between PA and multimorbidity with depressive symptoms is unclear. Thus, we investigated whether meeting weekly recommended PA guidelines influences the association between multimorbidity and depressive symptoms. Data were used from a national survey conducted in Brazil in 2013 with 60,202 adults (≥ 18 years). Information regarding depressive symptoms (PHQ-9), PA, and chronic disease was collected via interview-administered questionnaires. Data on covariates (age, educational status, employment status, tobacco smoking, alcohol consumption, and TV-viewing) were also assessed. Adjusted logistic regression models were used. Overall, men and women with one or more chronic conditions who were inactive (engaging in < 150 min PA per week) had higher odds of elevated depressive symptoms than active individuals with no chronic condition. However, only in men, physical inactivity interacts with heart disease (OR: 2.59; 95%CI: 1.10 to 6.09), cancer (OR: 21.54; 95%CI: 2.67 to 173.94) and chronic obstructive pulmonary disease (COPD) (OR: 8.26; 95%CI: 2.20 to 31.01) regarding elevated depressive symptoms. Our data suggest that engaging in weekly recommended PA targets may attenuate association of heart disease, cancer and COPD with depressive symptoms among men.