Objectives: This study examined the relationship between physical activity, sleep and depression among college students and gender differences in physical activity, sleep and depression. Methods: Participants were 1143 students from a large public university in Beijing and completed three questionnaires to measure their physical activity habits, sleep patterns, and depression levels. Data from were analyzed using descriptive statistics, stepwise regression, and an independent t test. Results: Results indicated that vigorous physical activity and sleep variables significantly predicted depression levels for the overall sample (F = 77.286, p = 0.000). When examined by gender, vigorous and moderate physical activity variables significantly predicted depression for males (t = -2.772, p = 0.006; t = -2.622, p = 0.009), whereas no level of physical activity had a significant relationship with depression for females. Conclusions: Rigorous physical activity and quality sleep may be beneficial to helping college students reduce and regulate depressive symptoms, however may vary by gender.