Recent research suggested that daily pattern of physical activity (PA) may have an important association with depression, but findings are limited and contradictory. Our aim was to conduct a systematic review of the literature to summarize the literature evidence on the association between timing of PA and depression. A comprehensive search of PubMed/Medline and Scopus databases has been performed, and a total of five manuscripts have been thoroughly reviewed. The performed descriptive analysis shows lower levels of PA among individuals with depression or depressive symptoms, although evidence on the 24 h pattern of PA and depression is limited. An interesting finding is the association between lower PA during the morning, higher PA late in the evening (night), and depression or depressive symptoms. However, definitive conclusions could not be drawn due to the observational nature of the studies, their limited number, the high heterogeneity in the sample populations, and the studies’ differing outcome definitions and exposure assessments. Future studies considering not only the level of PA but also its daily variability might be important to further explore this novel area of research.