In order to assess if an association exists between the risk of major depression (RMD) and physical activity (PA), controlling for demographic and academic variables in workers enrolled in undergraduate studies at a private university in Lima, Peru, we carried out a cross-sectional study of 1,111 people. We used the Major Depression Inventory (MDI) and the International Physical Activity Questionnaire (IPAQ) to measure RMD and PA, respectively. RMD prevalence was 4.2%. In the multiple regression model adjusted for age, gender, unemployment and hours of sleep, low levels of PA were associated with increased odds of RDM (OR: 2.15, 95% CI: 1.16 to 4.00). We conclude that there is an association between RMD and PA in the study population, independent of demographic and academics factors. Strategies to improve screening and development of longitudinal studies to assess causality are suggested.