Background <p>Depression is a prevalent disorder with significant health impacts. Physical activity is known to protect against depression, but its effects may vary in populations with disrupted sleep patterns, such as weekend catch-up sleepers, which refers to participants who sleep longer on weekends than on weekdays. This study examines the dose-response relationship between physical activity and depression in this population.</p> Methods <p>Data from 1,906 participants in the National Health and Nutrition Examination Survey (2021–2023) were analyzed. Physical activity was measured in MET-minutes per week, and depression was assessed using the PHQ-9. Multivariate linear regression, restricted cubic spline, and two-part linear regression models were employed.</p> Results <p>In the adjusted model, physical activity showed a negative trend with depression, though this association did not reach statistical significance in the fully adjusted model. Stratified analyses revealed stronger associations in women (<i>OR = 0.86, 95% CI: 0.75, 0.99, P = 0.0329</i>) and individuals aged 40–60 years (<i>OR = 0.79, 95% CI: 0.65, 0.97, P = 0.0237</i>). A threshold effect was observed, with physical activity below 2.48 MET-min/1000-wk showing a negative association with depression (<i>OR = 0.69, 95% CI: 0.56, 0.85, P = 0.0006</i>). Beyond this threshold, the relationship changed.</p> Conclusion <p>A nonlinear relationship between physical activity and depression was identified in weekend catch-up sleepers, with moderate activity levels (2.48 MET-min/1000-wk) offering the greatest mental health benefits, particularly in women and individuals aged 40–60 years.</p> Clinical trial number <p>Not applicable.</p> Graphical Abstract <p></p>