While mentally passive sedentary behavior such as television viewing (TV) is often related with depressive symptoms, some research shows that physical activity (PA) may attenuate this association. Thus, this study aimed to examine the associations between TV, PA, and depressive symptoms, considering sociodemographic covariates. A sample of 29,285 adults (13,943 men; 15,342 women) with a mean age of 50.9 ± 17.4 years (50.6 ± 17.3 men; 51.1 ± 17.5 women) from the European Social Survey agreed to be respondents for this study. Data for sociodemographic variables, TV watching, PA, and depressive symptoms were self-reported. Different statistical procedures were conducted to provide evidence for the association between study variables. ANCOVA was used to analyze the association between TV watching and depressive symptoms. Linear regression analysis was conducted to analyze the association between PA and depressive symptoms. General Linear Model was performed to analyze the association of TV watching and on depressive symptoms, controlling for PA. European adults who responded watching more than 2 h per day showed higher scores for depressive symptoms. Higher participation in PA was negatively and significantly associated with depressive symptoms in men (β = -0.15, 95% CI: -0.18, -0.13), and women (β = -0.23, 95% CI: -0.26, -0.21). Men spending 1-2 h/day TV watching and engaging in PA ≥ 5 days/week presented the lowest scores on depressive symptoms. The lowest scores on depressive symptoms was observed in women engaging 2-4 days/week in PA and spending <1 h/day in TV watching. More time spent in TV watching is related with increased scores on depressive symptoms. However, regular PA participation can weaken this association.