Studies often report beneficial effects of physical exercise on depression symptomatology, both in clinical and community samples. In clinical samples, effects are observed using physical exercise as primary treatment and supplement to antidepressant medications and/or psychotherapies. Magnitudes vary with sample characteristics, exercise measure, and study rigor. Both propensity to exercise and vulnerability to depression show genetic influences, suggesting gene–environment interplay. We investigated this in a Danish Twin Registry-based community sample who completed a cycle fitness test and detailed assessments of depression symptomatology and regular exercise engagement that enabled estimates of typical total, intentional exercise-specific, and other metabolic equivalent (MET) expenditures. All exercise-related measures correlated negatively with depression symptomatology (−.07 to −.19). Genetic variance was lower at higher levels of cycle fitness, with genetic and shared environmental correlations of − .50 and 1.0, respectively. Nonshared environmental variance in depression was lower at higher levels of total MET, with no indications of genetic or environmental covariance. Being physically active and/or fit tended to prevent depression, apparently because fewer participants with higher levels of activity and fitness reported high depression symptomatology. This was driven by nonshared environmental influences on activity but genetic influences on physical fitness. Genetic correlation suggested people less genetically inclined toward physical fitness may also be genetically vulnerable to depression, possibly because inertia impedes activity but also possibly due to social pressures to be fit. Exercise programs for general well-being should emphasize participation, not performance level or fitness. We discuss possible interrelations between fitness aptitude and metabolism.