Physical activity (PA) is an effective depression treatment. However, knowledge on how variation in day-to-day PA relates to depression in women is lacking. The purposes of this study were to 1) compare overall objectively measured baseline daily steps and duration of moderate to vigorous PA (MVPA) and 2) examine differences in steps and MVPA on days of the week between women aged 25–65 years, who were physically inactive, with high and low depressive symptoms, enrolled in a run-in period of the mobile phone based physical activity education (mPED) trial. The Center for Epidemiological Studies Depression Scale was used to categorize low/high depressive symptom groups. We used linear mixed-effects models to examine the associations between steps and MVPA and depression-status overall and by day of the week, adjusting for selected demographic variables and their interactions with day of the week. 274 women were included in the final analysis, of which 58 had high depressive symptoms. Overall physical activity levels did not differ. However, day of the week modified the associations of depression with MVPA (p = 0.015) and daily steps (p = 0.08). Women with high depression were characterized by reduced activity at the end of the week (Posthoc: Friday: 791 fewer steps, 95% CI: 73–1509, p = 0.03; 8.8 lower MVPA, 95% CI: 2.16–15.5, p = 0.0098) compared to women with low depression, who showed increased activity. Day of the week might be an important target for personalization of physical activity interventions. Future work should evaluate potential causes of daily activity alterations in depression in women.@en