Depression is the second most prevalent mental disorder among children and adolescents, yet only a small proportion seek or receive disorder-specific treatment. Physical activity interventions hold promise as an alternative or adjunctive approach to clinical treatment for depression. To determine the association of physical activity interventions with depressive symptoms in children and adolescents. PubMed, CINAHL, PsycINFO, EMBASE, and SPORTDiscus were searched from inception to February 2022 for relevant studies written in English, Chinese, or Italian. Two independent researchers selected studies that assessed the effects of physical activity interventions on depressive symptoms in children and adolescents compared with a control condition. A random-effects meta-analysis using Hedges g was performed. Heterogeneity, risk of bias, and publication bias were assessed independently by multiple reviewers. Meta-regressions and sensitivity analyses were conducted to substantiate the overall results. The study followed the PRISMA reporting guideline. The main outcome was depressive symptoms as measured by validated depression scales at postintervention and follow-up. Twenty-one studies involving 2441 participants (1148 [47.0%] boys; 1293 [53.0%] girls; mean [SD] age, 14 [3] years) were included. Meta-analysis of the postintervention differences revealed that physical activity interventions were associated with a reduction in depressive symptoms compared with the control condition (g = -0.29; 95% CI, -0.47 to -0.10; P = .004). Analysis of the follow-up outcomes in 4 studies revealed no differences between the physical activity and control groups (g = -0.39; 95% CI, -1.01 to 0.24; P = .14). Moderate study heterogeneity was detected (Q = 53.92; df = 20; P < .001; I2 = 62.9% [95% CI, 40.7%-76.8%]). The primary moderator analysis accounting for total physical activity volume, study design, participant health status, and allocation and/or assessment concealment did not moderate the main treatment effect. Secondary analyses demonstrated that intervention (ie, <12 weeks in duration, 3 times per week, unsupervised) and participant characteristics (ie, aged ≥13 years, with a mental illness and/or depression diagnosis) may influence the overall treatment effect. Physical activity interventions may be used to reduce depressive symptoms in children and adolescents. Greater reductions in depressive symptoms were derived from participants older than 13 years and with a mental illness and/or depression diagnosis. The association with physical activity parameters such as frequency, duration, and supervision of the sessions remains unclear and needs further investigation.