Previous studies assessing protective effects of physical activity on depression have had conflicting results; one recent study argued that excluding disabled subjects attenuated any observed effects. The authors' objective was to compare the effects of higher levels of physical activity on prevalent and incident depression with and without exclusion of disabled subjects. Participants were 1,947 community-dwelling adults from the Alameda County Study aged 50-94 years at baseline in 1994 with 5 years of follow-up. Depression was measured using criteria from the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition (Washington, DC: American Psychiatric Association, 1994). Physical activity was measured with an eight-point scale; odds ratios are based upon a one-point increase on the scale. Even with adjustments for age, sex, ethnicity, financial strain, chronic conditions, disability, body mass index, alcohol consumption, smoking, and social relations, greater physical activity was protective for both prevalent depression (adjusted odds ratio (OR) = 0.90, 95% confidence interval (CI): 0.79, 1.01) and incident depression (adjusted OR = 0.83, 95% CI: 0.73, 0.96) over 5 years. Exclusion of disabled subjects did not attenuate the incidence results (adjusted OR = 0.79, 95% CI: 0.67, 0.92). Findings support the protective effects of physical activity on depression for older adults and argue against excluding disabled subjects from similar studies.