Abstract Background and Objectives Self-perceptions of memory problems may impact older adults’ mood as well as their activity participation, thereby negatively affecting health and well-being. We examined within-person associations among self-reported memory, depressive symptoms, as well as physical, social, and cognitive activity participation in older adults without cognitive impairment. Research Design and Methods Samples were drawn from the Einstein Aging Study (EAS), National Health and Aging Trends Study (NHATS), Rush Memory and Aging Project (MAP), and Minority Aging Research Study (MARS), with over 8,000 participants (65+ years) included across data sets. In a series of coordinated analyses, multilevel structural equation modeling was used to examine within-person relationships over periods of up to 20 years. Results Across EAS, NHATS, and MAP/MARS samples, we found that older adults’ self-perceptions of memory did not directly covary with activity participation over time. However, we did find an indirect association in NHATS such that within-person changes in depressive symptoms were associated with changes in self-reported memory, and these contributed to lower physical as well as social activity participation. Discussion and Implications Older adults’ activity participation is important for health, but maximizing engagement requires understanding potentially impeding factors. We found some evidence that as self-perceptions of memory change over time, associated depressive symptoms may contribute to lower activity participation. Inconsistent findings across data sets, however, suggest future research is needed to understand individual characteristics that may influence these relationships.