This study aims to compare the accelerometer‐measured daily patterns of PA and sedentary behavior among participants with and without prevalent/incident depressive symptoms. We used data from 5582 individuals in The Maastricht Study (59.9 ± 8.6 years, 50.3% women). Daily patterns of sedentary time, light‐intensity physical activity (LiPA), moderate‐to‐vigorous physical activity (MVPA), and sit‐to‐stand transitions were objectively measured at baseline with the activPAL3 activity monitor. Depressive symptoms were assessed using the 9‐item Patient Health Questionnaire, both at baseline and annually (median follow‐up: 5.1 years). General linear models were used to compare patterns of physical activity and sedentary behavior between those with and without prevalent/incident depressive symptoms. Participants with prevalent depressive symptoms had significantly more sedentary time (18.6 min/day) and lower LiPA (26.8 min/day) and MVPA (4.8 min/day) than participants without depressive symptoms. Considering the daily patterns, participants with prevalent depressive symptoms had significantly more sedentary time early in the afternoon (12:00–18:00), early evening (18:00–21:00), and during the night (00:00–03:00), less time in LiPA in all periods between 09:00–21.00 and less MVPA in the morning (09:00:12:00), early afternoon (12:00–15:00), and evening (18:00–21:00), than those without. Similar differences in activity and sedentary behavior patterns between those and without incident depressive symptoms were observed albeit the differences were smaller. Overall, we did not find specific time slots particularly associated with both prevalent and incident depressive symptoms. These findings may indicate that less sedentary time and more intense PA can be important targets for the prevention of depression irrespective of the timing of the day.