Epidemiological studies have shown an association between physical activity and sleep, but it is unclear what the temporal order of this association is and whether it differs for depressed patients and healthy controls. Using a multiple repeated observations design, 27 depressed and 27 pair-matched nondepressed participants completed daily measurements of subjective sleep quality and duration during 30 consecutive days while an accelerometer continuously registered their physical activity. Changes in sleep duration, not quality, predicted next-day changes in physical activity (B = -0.21, p <.001), but not the other way around. Significant heterogeneity between individuals was observed, but the effect was not different for depressed and nondepressed participants. The findings underline the strength of a multiple repeated observations design in observational sleep research.