Objective <p>To explore the causal relationship between types of physical activity in the last 4 weeks and Depression, Major depression.</p> Methods <p>We used summary data from Genome-Wide Association Studies (GWAS) to conduct a Two-Sample Mendelian Randomization (TSMR) analysis. The main method was the Inverse Variance Weighted (IVW) approach, with weighted median, weighted mode, and MR Egger methods as supplements. The evaluation metrics were P-value, OR value, and 95% Confidence Interval (95% CI). Sensitivity analysis was also performed.</p> Results <p>Genetically predicted NOPA was significantly associated with an increased risk of Depression. WFP and HDIY were significantly associated with a reduced risk of Depression. LDIY, OE, and SS showed no causal relationship with Depression (<i>P</i> &gt; 0.05). Genetically predicted NOPA was significantly associated with an increased risk of Major depression (NOPA: OR = 15.959, 95% CI: 3.517–72.409, <i>P</i> = 3.98E-03). WFP, HDIY, LDIY, and OE were significantly associated with a reduced risk of Major depression (WFP: OR = 0.235, 95% CI: 0.113–0.487, <i>P</i> = 9.80E-05), (HDIY: OR = 0.419, 95% CI: 0.235–0.748, <i>P</i> = 0.003), (LDIY: OR = 0.467, 95% CI: 0.318–0.685, <i>P</i> = 9.65E-05), (OE: OR = 0.312, 95% CI: 0.145–0.670, <i>P</i> = 0.003). SS showed no causal relationship with Major depression (<i>P</i> &gt; 0.05).</p> Conclusion <p>Our TSMR analysis revealed that types of physical activity in the last 4 weeks, such as WFP and HDIY, may reduce the risk of Depression and Major depression, while NOPA may increase the risk of both. SS had no effect on Depression and Major depression.</p>