The purpose of this study is to examine the longitudinal impact of depressive symptoms on physical activity (PA) levels, sedentary behavior, and screen time among first-generation, Mexican-heritage youth. Mexican-heritage families were recruited by promotoras de salud from colonias in Hidalgo County, Texas. Participants (n = 200 youth, 116 families in final sample) completed at-home, interviewer-administered surveys once during the summer (June-July) and once during the fall (August-December). Youth PA and sedentary behaviors were assessed using a validated 7-day recall instrument. The validated Center for Epidemiology Studies—Depression Child scale was used to assess depression symptoms. Linear mixed-effects models were used to analyze the relationships of PA and sedentary behavior with depressive symptoms. Results showed that those depression symptoms were significantly associated with decreased number of self-reported minutes of sitting and screen time over time in the full sample and among male youth. Depression symptoms also significantly decreased the number of self-reported active and moderate to vigorous PA minutes over time among male youth. Researchers can build on our findings by identifying the mechanisms driving the relationships between depression and PA/sedentary behavior. Public health–programing efforts should intentionally consider the impact that depressive symptoms have on PA.