Physical inactivity, i.e. not engaging in adequate moderate-to-vigorous physical activity (MVPA), has been identified as a risk factor for depression. Increased sedentary time has further been identified as a potential risk factor for depression. We analyzed NHANES 2005–2006 data to examine the associations between compliance with physical activity guidelines (PAG) and sedentary time with depression. We utilized accelerometer data to assess compliance with PAG and sedentary time, and we used the Patient Health Questionnaire (PHQ-9) to assess presence of depression. Participants were classified as compliant with PAG or non-compliant based on MVPA accumulated in bouts of 10 min or more. We further divided these two groups into quartiles of sedentary time. We conducted logistic regression analyses to test for the interaction effect of PAG compliance and sedentary behavior on depression. Analyses were conducted in 2014–2015 at the University of Illinois at Urbana-Champaign. Mean depression score among compliant participants was 1.65 (SD = 2.61), whereas it was higher among the non-compliant participants (mean = 2.52, SD = 3.51). Logistic regression indicated a statistically significant interaction effect between MVPA and sedentary time on depression scores. There was no apparent trend in depression scores across quartiles of sedentary time in the compliant group. However, adjusted odds ratios for depression increased with increasing sedentary time among the non-compliant group. We provide evidence that compliance with PAG is associated with reduced depressive symptoms regardless of sedentary behavior; however, increased sedentary behavior may increase the risk of depression among those who are not physically active at a level which meets national guidelines.