Depression is a mental health disease that affects a considerable number of individuals of all age and ethnic groups across the world. Although collective evidence has demonstrated that exercise represents a promising new approach in the treatment of depression, two important research issues that are critical to accurately understanding and promoting physical activity behaviors among individuals with depression have been ironically ignored in current literature. That is, the validity of physical activity measures and correlates of physical activity among individuals with depression. In a sample of 54 individuals with depression (M age = 32.44), the present study provided empirical evidence to examine these issues by: (1) Testing the validity of both objective and subjective measures of physical activity in a Multi-trait Multi-method framework; and (2) Examining a number of psychosocial correlates of physical activity participation. Participants' physical activity levels were measured objectively by wearing both MTI accelerometer and Omron pedometer for 7 days, and subjectively by completing the Godin Leisure-Time Exercise Questionnaire (GLTEQ) and Internal Physical Activity Questionnaire (IPAQ). Correlations between objective measures and subjective measures were found in the hypothesized manner except for the consistently low and non-significant correlations between the IPAQ and other physical activity measures. However, correlations the Leisure Time Physical Activity (LTPA) component of the IPAQ was found to be correlated with other physical activity measures reasonably well. In addition, the pattern of correlations among these measures was not changed after controlling for depression scores. It was recommended that accelerometer, pedometer, GLTEQ, and LTPA component of the IPAQ demonstrated correlations in the hypothesized manner and are suitable for future studies of physical activity and depression. From the perspective of identifying psychosocial correlates of physical activity among individuals with depression, both correlational and regression analyses found that exercise and barrier self-efficacy, enjoyment and importance of physical activity, and overall pain intensity rating were associated with physical activity levels. Such findings may have implications for designing and implementing future exercise programs among individuals with depression, and thus be of particular interest to health practitioners and researchers.