Depression is a serious mental disorder which affects more than 350 million people of all ages worldwide in the 2012 and physical activity is generally believed to be effective in combating depressive symptoms. This study investigates the effects of regular physical activity and sociodemographic factors on depressive symptoms for both men and women. Data for this study come from the 2011 Behavioral Risk Factor Surveillance System (BRFSS) and an ordered probability model with binary endogenous physical activity is developed to accommodate the ordinal nature of depression outcomes. Results suggest that physical activity is most beneficial for mild and moderate depressed individuals and the effect of regular physical activity is most notable on mild depressed females. In addition, socio-demographic factors are found to vary significantly between gender, and factors of age, income, race, education, employment status and recent mental health condition play important roles in affecting depressive symptoms.