Background Data collected by an actigraphy device worn on the wrist or waist can provide objective measurements for studies related to physical activity; however, some data may contain intervals where values are missing. In previous studies, statistical methods have been applied to impute missing values on the basis of statistical assumptions. Deep learning algorithms, however, can learn features from the data without any such assumptions and may outperform previous approaches in imputation tasks. Objective The aim of this study was to impute missing values in data using a deep learning approach. Methods To develop an imputation model for missing values in accelerometer-based actigraphy data, a denoising convolutional autoencoder was adopted. We trained and tested our deep learning–based imputation model with the National Health and Nutrition Examination Survey data set and validated it with the external Korea National Health and Nutrition Examination Survey and the Korean Chronic Cerebrovascular Disease Oriented Biobank data sets which consist of daily records measuring activity counts. The partial root mean square error and partial mean absolute error of the imputed intervals (partial RMSE and partial MAE, respectively) were calculated using our deep learning–based imputation model (zero-inflated denoising convolutional autoencoder) as well as using other approaches (mean imputation, zero-inflated Poisson regression, and Bayesian regression). Results The zero-inflated denoising convolutional autoencoder exhibited a partial RMSE of 839.3 counts and partial MAE of 431.1 counts, whereas mean imputation achieved a partial RMSE of 1053.2 counts and partial MAE of 545.4 counts, the zero-inflated Poisson regression model achieved a partial RMSE of 1255.6 counts and partial MAE of 508.6 counts, and Bayesian regression achieved a partial RMSE of 924.5 counts and partial MAE of 605.8 counts. Conclusions Our deep learning–based imputation model performed better than the other methods when imputing missing values in actigraphy data.