According to findings published in the American Journal of Epidemiology, researchers found that women who reported exercising the most in recent years were about 20 percent less likely to get depression than those who rarely exercised.
On the other hand, the more hours they spent watching TV each week, the more their risk of depression crept up.
"Higher levels of physical activity were associated with lower depression risk," wrote study author Michel Lucas, from the Harvard School of Public Health in Boston.
More time spent being active might boost self-esteem and women's sense of control, as well as the endorphins in their blood, although the study could not prove directly that watching too much television and avoiding exercise caused depression, she added.
The report included close to 50,000 women who filled out surveys every couple of years as part of the U.S. Nurses' Health Study, and covered the years 1992 to 2006.
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