Physical activity is an important factor in healthy aging and has been shown to reduce depressive symptoms. This association, however, is relatively understudied in older men. This study was a cross-sectional analysis of the association between physical activity (Active Australia Survey) and psychological distress (Kessler-10). Participants were a sample of 17,689 men age ≥ 65 yr drawn from a large-scale Australian cohort study of people age 45 years and over (The 45 and Up Study). The likelihood of reporting high or very high levels of psychological distress decreased with increasing weekly sessions of physical activity. Compared with participants reporting no sessions of physical activity, the fully adjusted odds ratio for high or very high psychological distress was .66 (95% CI .51-.85) for men who undertook 1-6 sessions of physical activity per week and decreased to .57 (95% CI, .43-.79) for men who reported 16 or more weekly sessions. The cross-sectional findings show that older men who are more active are less likely to report psychological distress, regardless of their level of functional limitation. Further research, informed by these findings, is required to investigate causal pathways and the temporal sequence of events.