Importance: Depression is the leading cause of mental health-related disease burden and may be reduced by physical activity but the dose-response relationship between activity and depression is uncertain. Objective: To systematically review and meta-analyse the dose-response association between physical activity and incident depression from published prospective studies of adults. Data Sources: PubMed, SCOPUS, Web of Science, PsycINFO, and the reference lists of systematic reviews retrieved by a systematic search up to 12/11/2020 with no language limits. Study Selection: We included prospective cohort studies reporting physical activity at ≥3 exposure levels and risk estimates for depression with ≥3000 adults and ≥3 years of follow-up. Data Extraction and Synthesis: Data extraction was completed independently by two extractors and cross-checked for errors. A two-stage random-effects dose-response meta-analysis was used to synthesise data. Study-specific associations were estimated using generalized least squares regression and the pooled association was estimated by combining the study-specific coefficients using restricted maximum likelihood. Main Outcomes and Measures: The outcome of interest was depression including: 1) presence of major depressive disorder indicated by self-report of physician diagnosis, registry data, or diagnostic interviews; 2) elevated depressive symptoms established using validated cut-offs for a depressive screening instrument. Results: Fifteen studies including 191,130 participants and 2,110,588 person-years were included. An inverse curvilinear dose-response association between physical activity and depression was observed, with steeper association gradients at lower activity volumes; heterogeneity was large and significant (I2=74%; P<.001). Adults accumulating half or fully meeting the physical activity recommendation, equivalent to 2.5 hrs/week moderate intensity activity, had 18% (95%CI 13 to 23%) and 25% (95%CI 18 to 32%) lower risks of depression, respectively. There were diminishing additional potential benefits and greater uncertainty at higher volumes of physical activity. If less active adults had achieved the current physical activity recommendations, 11.5% (95%CI 7.7 to 15.4%) of depression cases would have been prevented. Conclusions and Relevance: This dose-response meta-analysis of associations between physical activity and depression suggests significant mental health benefits of being physically active, even at levels below the public health recommendations. Health practitioners should therefore be encouraging any increase in physical activity to improve mental health.