By integrating Metabolic Equivalent of Task (MET) values and frequency to assess PA, alongside Medication Possession Ratio (MPR) for antidepressant adherence, this study sought to provide a more comprehensive and clinically grounded evaluation.Depression is a known risk factor for dementia, and physical activity (PA) benefits both conditions. This study examined whether early physical activity after a new depression diagnosis is associated with subsequent dementia risk.This cohort study used data from the Korean National Health Insurance Service and included 46,871 patients with newly diagnosed depression. PA within two years of diagnosis was categorized by frequency (0, 1-2, 3-4, ≥5 times/week) and by metabolic equivalent of task (MET) levels (0, 1–499, 500–999, ≥1000 MET-min/week). Cox proportional hazards models were used to estimate adjusted hazard ratio (aHRs) and 95% confidence intervals (95% CIs), with adjustments for antidepressant adherence and additional covariates.Higher levels of PA (frequency, MET) were significantly associated with a reduced risk of overall dementia (P for trend <0.001). Individuals who exercised ≥5 times per week had a 13% lower risk of dementia compared with non-exercisers (aHR, 0.87; 95% CI, 0.78-0.95). A comparable pattern was observed for MET levels, with the ≥1000 MET-min/week group exhibiting a lower risk (aHR, 0.84; 95% CI, 0.75–0.93) than the 0 MET-min/week group. A significant sex-specific difference was observed only in the frequency of PA (P for interaction = 0.017)We identified that the association between PA frequency and dementia risk may vary depending on the sex of the patients with depression. To our knowledge, this is the first cohort study to link early post-diagnosis PA with dementia risk in newly diagnosed depression patients while adjusting for major covariates, including anti-depressant adherence and comorbidities, both of which are key clinical variables in this population.Our findings indicate that increased physical activity, measured by both frequency and METs, is associated with a reduced risk of dementia in the early post-depression period. These findings highlight the critical importance of early PA as a preventive strategy against dementia following a depression diagnosis, and underscore the need for clinical interventions to encourage active lifestyles during this period.