Purpose: Evidence suggests that long-term air pollution exposures may induce depression; however, the influence of physical activity on this effect is unclear. We investigated modification of the associations between air pollution exposures and depression by the intensity of physical activity. Materials and Methods: This cross-sectional study included 1454 Korean adults. Depression was defined as a Geriatric Depression Scale score ≥8. Concentrations of particulate matter (PM10 and PM2.5: diameter ≤10 μm and ≤2.5 μm, respectively) and nitrogen dioxide (NO2) level at each participant’s residential address were estimated. Based on metabolic equivalents, physical activity intensity was categorized as inactive, minimally active, or health-enhancing physical activity (HEPA). Results: Each 1-part per billion (ppb) NO2 concentration increase was significantly associated with a 6% [95% confidence interval (CI), 4%–8%] increase in depression risk. In older adults (≥65 years), a 1-ppb NO2 increase was associated (95% CI) with a 4% (1%–7%), 9% (5%–13%), and 21% (9%–33%) increase in depression risk in the inactive, minimally active, and HEPA groups, respectively. Compared with the inactive group, the minimally active (p=0.039) and HEPA groups (p=0.004) had higher NO2 exposure-associated depression risk. Associations of PM10 and PM2.5 with depression did not significantly differ by the intensity of physical activity. Conclusion We suggest that older adults who vigorously exercise outdoors may be susceptible to air pollution-related depression.