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Increased prevalence of depression symptoms, which is a strong predictor of suicidal behaviour and thoughts, may be connected to an increase in the rate of suicide cases among undergraduates of University of Nigeria, Nsukka (UNN). Literature suggests regular physical activity (PA) reduce depression-related symptoms and the associated negative health consequences. This study aimed to identify proportion of students experiencing depression, their levels of depression and PA levels. Also, to determine if there are differences in their depression based on fathers and mothers’ levels of education, as well as determine relationship between depression and PA. A cross-sectional survey was conducted using 383 participants recruited for the study. Participants completed self-report questionnaire on Patient Health Questionnaire-9 (PHQ-9) for measuring depression severity and International Physical Activity Questionnaire-Short Form (IPAQ-SF). The result indicated 77% prevalence of depression, above one fifth of the participants experienced minimal or none depression while a good percent had mild, moderate, moderately severe and severe depression. The chi-square test of independence showed no significant difference on depression based on fathers and mothers level of education. Result on PA showed that large proportion of the participants were inactive, above half were moderately active while only a few achieved high (health enhancing) PA level. The chi-square test of independence indicated differences on PA level of participants based on fathers and mothers’ levels of education. However, Kruskal-Wallis tests revealed no significant difference in participants’ depression and physical activity based on fathers and mothers’ education. Spearman’s correlation showed strong negative relationship between PHQ-9 scores and IPAQ-SF scores. The result shows that high PA level is associated with lower depression symptoms. It was recommended that University administration should promote regular PA in all the students to mitigate depression in undergraduates.