Objectives: The aims of this study were to investigate whether baseline leisure-time physical activity (LTPA) is associated with future recovery from depression among patients with a depression diagnosis and whether baseline LTPA is associated with total physical activity after five years of follow-up. Methods: A total of 258 patients aged 35 years with clinically confirmed depression at baseline participated. The study was conducted between 2008 and 2016 in municipalities within the Central Finland Hospital District. Depressive symptoms (DS) were determined with the Beck Depression Inventory (BDI) with a cutoff score 10, and depression diagnoses were confirmed by the MiniInternational Neuropsychiatric Interview (MINI). Blood pressure and anthropometric parameters were measured and blood samples for glucose and lipid determinations were drawn at baseline. LTPA, physical activity, and other social and clinical factors were captured by standard self-administered questionnaires at baseline and the five-year follow-up point. Results: Of the 258 patients, 76 (29%) had DS at follow-up. Adjusted odds ratio (OR) for future DS was 1.43 (confidence interval [CI] 0.69–2.95) for participants with moderate LTPA and 0.92 (CI 0.42–2.00) for participants with high LTPA, compared with low LTPA at baseline. Higher baseline LTPA levels were associated with higher total physical activity in the future (b¼0.14 [95% CI: 0.02–0.26] for linearity ¼ 0.024). Conclusion: Baseline LTPA did not affect the five-year prognosis of depression among depressed patients in a Finnish adult population. Because the baseline LTPA level predicted the future total physical activity, it could be included as a part of the overall health management and treatment of depression in clinical practices.