Multimorbidity is associated with increased depression risks. Little research examines how physical exercise moderates this association. From an existing cohort of community-dwelling older adults in Hong Kong recruited in 2001–2003, the authors included participants who were successfully interviewed after 14 years (2015–2017). Geriatric depressive symptoms were used as the primary outcome and measured by the 15-item Geriatric Depression Scale, while multimorbidity was operationalized using a list of 19 conditions. Subscores of the Physical Activity Scale for the Elderly measuring light, moderate, and strenuous sport/ recreational activities were included as moderators. In total, 1,056 participants were included, of whom 50.7% were multimorbid. Multimorbidity was associated with 12% more geriatric depressive symptoms, but strenuous physical activities were associated with a smaller risk elevation only among multimorbid patients (adjusted relative risk = 0.99, 95% confidence interval [0.98, 0.99]; p = .001). In conclusion, strenuous sport and recreational activities may attenuate the association between multimorbidity and geriatric depressive symptoms. Copyright © 2022 Human Kinetics, Inc.