This study investigated the relationship between light and strenuous exercise and depression, as well as gender differences in this relationship, in a representative sample of 860 elderly Swedish suburb-dwelling men and women in age cohorts from 60 to 96 years, drawn from among participants in the Swedish National Aging and Care study. The relationship between depression and self-reported changes in exercise status over time was also examined. Exercise activities were measured with four survey questions, and depression, with the Montgomery Asberg Depression Rating Scale. The inactive elderly had higher depression scores than more active individuals, both in terms of light and strenuous exercise. The continuously active group had lower depression scores than both continuously inactive individuals and individuals reporting a shift from activity to inactivity during the preceding year. Light exercise had a somewhat stronger effect on depression for women.