To investigate the potential affective factors of depressive symptoms in patients with hypertension and explore the protective effects of physical activity. 211 hypertensive patients aged over 18 years were consecutively recruited. All patients completed a self-designed questionnaire and the Hospital Anxiety and Depression Scale (HADS) to assess the coexistence of depressive symptoms, and psychiatrists were invited to diagnose depression when necessary. Full-night polysomnography was performed to detect the sleep pattern. The association between sleep structure and depressive symptoms was tested by using logistic regression analysis, and contributing factors as well as the effect of physical activity were assessed among patients with and without depressive symptoms. Of the 211 subjects, 33.6% of cases were coexistent with depressive symptoms. Female gender [OR (95%CI): 2.83 (1.44-5.57), P = 0.003) and the greater percentage of REM stage [OR (95%CI): 1.09 (1.01-1.18), P = 0.024] were the risk factors of depressive symptoms, while doing physical activity showed as the protective factor. Patients with REM stage ≥ 20% showed a higher score on HADS-D than those with REM stage < 20% [(4.9 ± 3.8) vs. (3.7 ± 3.1), P = 0.018]. Compared to individuals who never did physical activity, those who did physical activity 1-2 times per week and ≥ 3 times per week had a 52% and 62% risk reduction in depressive symptoms respectively. Patients who did physical activity had lower levels of high-sensitivity C-reactive protein (hs-CRP) compared to those who never did physical activity. Female gender and a higher percentage of REM stage are risk factors for depressive symptoms in hypertension, while physical activity may benefit depressive symptoms by reducing serum levels of hs-CRP.