Background and aimsLow levels of physical activity (PA) have been associated with depression. However, shared familial (genetic and environmental) factors might confound this association, given PA and depression tend to cluster in families. We investigated the association between levels of PA and depression symptoms during the COVID-19 pandemic, and then controlled for shared familial factors by design, and assessed if being in lockdown modified this association. MethodsWe applied within-individual and within-pair regression models to questionnaire data from adult same-sex twin pair members of Twins Research Australia collected between August and November 2020. Depression score was measured using the Depression, Anxiety and Stress Scale (DASS-21), and PA levels and changes since the onset of the pandemic were self-reported. Adjusted models included body-mass-index, sleep adequacy, smoking, and alcohol consumption. ResultsThe sample of 1148 twins was predominantly female (80%) and had a mean age of 52.5 (Standard Deviation = 15.7). Reduced PA was associated with higher depression scores (β = 1.22, 95% Confidence Interval: 0.70–1.73, P < 0.001) in the adjusted within-individual model, but evidence of a within-pair association was weak. Lockdown status was an effect modifier (P = 0.006); relative to the co-twin, increased PA was associated with lower depression scores for those not in lockdown but higher scores for those in lockdown. ConclusionShared familial factors play a role in the association between PA and depression. Health interventions and educational campaigns for families rather than just individuals might be better suited to improve mental health outcomes, especially when opportunities for PA and exercise are limited.