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Exercise self-efficacy is an important predictor of physical activity. Patients with coronary heart disease are at risk of developing depressive symptoms that could further weaken their self-efficacy and interfere with their ability to engage in physical activity.The aim of this study was to examine the relationship between depressive symptoms, exercise self-efficacy, and physical activity among patients with coronary heart disease and how the efficacy-activity relationship is affected by the patient's level of depression.A survey was conducted on 149 participants at the time of discharge from the emergency and in-patient medical wards at 2 regional hospitals.The sample was mostly male, married, living with families, and of lower socioeconomic status. The mean exercise self-efficacy was 4.26 ± 2.73, and the median physical activity was 12 (interquartile range, 6–21). Approximately 26% of participants had high depressive symptoms. Those with more depressive symptoms reported lower self-efficacy scores and lower physical activity. In multivariate regressions, self-efficacy was an independent predictor of physical activity (b = 1.48, P < .001). After including depressive symptoms as the interaction term, exercise self-efficacy had a significantly stronger and positive relationship with physical activity (b = 0.14, P = .043).Exercise self-efficacy had a positive association with physical activity, and this relationship was stronger among coronary heart disease patients with depressive symptoms. This finding suggests that self-efficacy might be important in encouraging individuals with depressive symptoms to participate in physical activity. More efforts should target the development of effective strategies to improve exercise self-efficacy as a way of promoting physical activity among depressed coronary heart disease patients.