There has been an increasing body of epidemiologic evidence revealing that late-life physical activity reduces the risk of subsequent depressive symptoms in older adults. However, the following issues regarding the associations between physical activity and depressive symptoms in the given population are still equivocal. First, are the associations of different types of physical activity, including leisure-time, household, commuting and occupational physical activities, with depressive symptoms differential? Second, which parameters of physical activity, such as frequency, duration and intensity, predict depressive symptoms stronger? Third, is the relationship between physical activity and depressive symptoms unidirectional or bi-directional? The study aimed to address these issues and provided a concise review. Conclusions and suggestions for future promotion on this topic were proposed.