Job burnout and depression have been generally found to be correlated with one another. However, evidence regarding the job burnout–depression association is limited in that most studies are cross-sectional in nature. Moreover, little is known about factors that may influence the job burnout–depression association, other than individual or organizational factors (eg, gender, supervisor support). The current study seeks to address these gaps by (a) unraveling the temporal relationship between job burnout and depression and (b) examining whether the job burnout–depression association may be contingent upon the degree to which employees engage in physical activity. On the basis of a full-panel 3-wave longitudinal design with a large sample of employees (N= 1,632), latent difference score modeling indicated that an increase in depression from Time 1 to Time 2 predicts an increase in job burnout from Time 2 to Time 3, and vice versa. In addition, physical activity attenuated these effects in a dose–response manner, so that the increase in job burnout and depression was strongest among employees who did not engage in physical activity and weakest to the point of nonsignificance among those engaging in high physical activity.(PsycINFO Database Record (c) 2016 APA, all rights reserved)