Objective: The association between physical activity and affect found in longitudinal observational studies is generally small to moderate. It is unknown how this association generalizes to individuals. The aim of the present study was to investigate interindividual differences in the bidirectional dynamic relationship between physical activity and affect, in depressed and nondepressed individuals, using time-series analysis. Method: A pair-matched sample of 10 depressed and 10 nondepressed participants (mean age = 36.6, SD = 8.9, 30% males) wore accelerometers and completed electronic questionnaires 3 times a day for 30 days. Physical activity was operationalized as the total energy expenditure (EE) per day segment (i.e., 6 hr). The multivariate time series (T = 90) of every individual were analyzed using vector autoregressive modeling (VAR), with the aim to assess direct as well as lagged (i.e., over 1 day) effects of EE on positive and negative affect, and vice versa. Results: Large interindividual differences in the strength, direction and temporal aspects of the relationship between physical activity and positive and negative affect were observed. An exception was the direct (but not the lagged) effect of physical activity on positive affect, which was positive in nearly all individuals. Conclusion: This study showed that the association between physical activity and affect varied considerably across individuals. Thus, while at the group level the effect of physical activity on affect may be small, in some individuals the effect may be clinically relevant.