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Background: Physical activity (PA) during adolescence is associated with a wide range of health benefits, including lower levels of internalizing and externalizing problems. Although the association between PA and mental health has been established, there are few prospective studies investigating if the association between PA and internalizing/externalizing symptoms remains after adjustment for the baseline occurrence of such symptoms, and those exploring any sex-specific pattern of the association. Methods: Swedish adolescents (N = 1428; mean age = 14.38 years) were assessed and followed up 3 years later. Self-reported data were collected for PA (recoded as low, moderate and high levels), internalizing (depression and anxiety) and externalizing (attention-deficit/hyperactivity disorder and disruptive behaviours) symptoms. A full path analysis was used to determine the main and interaction effects of PA and sex on internalizing/externalizing symptoms 3 years later, adjusting for these symptoms at baseline. Results: Higher levels of PA were correlated with lower internalizing/externalizing symptoms. In the full path analysis, PA during early adolescence predicted lower levels of depressive symptoms, but not anxiety or externalizing problems, 3 years later. A sex-specific effect of PA on depressive symptoms was found, wherein boys, but not girls, with high levels of PA showed reduced symptoms. Limitations: Including parental ratings, diagnostic assessments and objective measures of PA would have provided additional information to the study. Conclusions: Low levels of PA during early adolescence are a unique predictor for the development of depressive symptoms among boys. PA should be considered when discussing prevention and treatment for depression in adolescents.