Purpose: The novel coronavirus disease (COVID-19) pandemic and associated restrictive measures have implications for depressive symptoms (henceforth depression) of young people and risk may be associated with their reduced physical activity (PA) level. Therefore, we aimed to examine the association between depressive symptoms and PA among college students with different gender and gender role (masculinity traits and femininity traits) during the COVID-19 pandemic. Participants and Methods: Cross-sectional study included 628 healthy college students from nineteen different locations. The Center for Epidemiological Studies Depression Scales (CES-D), the International Physical Activity Questionnaire-Short Form (IPAQ-SF), and the 50-item Chinese Sex-Role Inventory (CSRI-50) were used to measure depressive symptoms, PA continuous (weekly metabolic equivalent minutes, MET-minutes/week) and categorical indicators (activity level category) and gender role, respectively. The statistical analyses were used in partial correlation analysis, t-test, one-way ANOVA, moderation model tests, and linear regression model tests. Results: Total of 34.72% participants had clinically relevant depression (16, CES-D scale). Total of 58.6% participants were classified as a “low” activity level for spending less time on PA. Depression significantly negatively correlated with MET-minutes/week in moderate-intensity PA but not vigorous and walking scores. Of note, the depression-PA association was only moderated by the “low” activity level group in terms of categorical scores across gender groups. Participants with higher masculinity traits were less likely to have depression among all participants. Moreover, more recovered cases and fewer deaths could also predict the lower depression risk in the “high” activity level group. Conclusion: Moderate-intensity PA is beneficial for reducing depression risk among college students at a low activity level. College students with fewer masculinity traits (regardless of gender) are highly vulnerable to depression during the outbreak of COVID-19. Effective control of the COVID-19 pandemic seems critical to alleviating the burden of mental disorders of the public including depression.