Our aim was to examine the associations between work intensity and depressive symptoms among the working population, as well as to identify the impact of physical activity (PA) on these relationships. Spearman correlation analysis was conducted to analyze the correlations among work intensity, PA, and depressive symptoms. Working hours and working days were positively correlated with depressive symptoms (r = 0.108, 0.063; all p values were <0.001). Regular PA, exercise time, exercise frequency, and exercise years were negatively correlated with depressive symptoms (r = −0.121, −0.124, −0.152, −0.149; all p values were <0.001) and working days (r = −0.066, −0.050, −0.069, −0.044; all p values were <0.001), working hours (r = −0.113. −0.106, −0.161, −0.123; all p values were <0.001). Working days was positively correlated with working hours (r = 0.512, p < 0.001). Different levels of PA alleviated the effect of working hours or working days on depressive symptoms. Working hours seemed to be more correlated with depressive symptoms than working days. The results suggest that PA at any level could buffer against the effects of work intensity and might prove a helpful strategy for improving mental health issues among employees.