Most studies of the relationship between cardiorespiratory fitness (CRF) and depression have been limited to cross-sectional designs. The objective of this study was to follow individuals over time to examine whether those with higher levels of CRF have lower risk of developing depressive symptoms. Participants were 11,258 men and 3085 women enrolled in the Aerobics Center Longitudinal Study in Dallas, TX. All participants completed a maximal treadmill exercise test at baseline (1970-1995) and a follow-up health survey in 1990 and/or 1995. Individuals with a history of a mental disorder, cardiovascular disease, or cancer were excluded. CRF was quantified by exercise test duration, and categorized into age and sex-stratified groups as low (lowest 20%), moderate (middle 40%), or high (upper 40%). Depressive symptoms were assessed using the 20-item Center for Epidemiologic Studies Depression Scale (CES-D). Those who scored 16 or more on the CES-D were considered to have depressive symptoms. After an average of 12 years of follow-up, 282 women and 740 men reported depressive symptoms. After adjusting for age, baseline examination year, and survey response year, the odds of reporting depressive symptoms were 31% lower for men with moderate CRF (odds ratio, OR 0.69; 95% confidence interval, CI 0.56-0.85) and 51% lower for men with high CRF (OR 0.49, CI 0.39-0.60), compared to men with low CRF. Corresponding ORs for women were 0.56 (CI 0.40-0.80) and 0.46 (CI 0.32-0.65). Higher CRF is associated with lower risk of incident depressive symptoms independent of other clinical risk predictors.