Approximately 18% of older adults experience mild-to-severe depressive symptoms in the U.S., which in turn can negatively affect their physical and cognitive health. It is widely acknowledged that physical activity has a positive impact on mood and depression and is highly recommended for symptom management across all ages. Little is known, however, about whether elevated depressive symptoms interfere with the potential benefits of chronic exercise on physical outcomes such as mobility improvements in older adults. In this secondary data analysis of the Lifestyle Interventions and Independence for Elders (LIFE) study, we analyzed data from 1545 older adults (mean age = 78.8, 66.7% female) randomized to either a physical activity or health education intervention with an average of 2.2 years of follow-up. We evaluated whether the presence of clinically relevant depressive symptoms (defined as a rescaled score of ≥16 on the Center for Epidemiological Studies-Depression [CES-D]-11 scale) moderated the effect of a chronic physical activity intervention on incident major mobility disability (MMD), objectively measured as the ability to walk 400 m and assessed every 6 months. There were significant main effects of both the physical activity intervention (p = 0.018) and clinically relevant depression (p < 0.001) on incident MMD, but we found no evidence of moderation by depression status (interaction p-value = 0.989). Our findings suggest older adults with clinically relevant depressive symptoms derive similar benefits from participating in a comprehensive physical activity intervention in terms of reduced risk of mobility disability. These results support the inclusion of older adults with depressive symptoms in behavior-based clinical trials.