Background:: This study aims to examine whether physical activity (PA) before and during pregnancy and birth experience predict incident postpartum depressive (PPD) symptoms. Because PA may increase endurance and feelings of physical control, it may contribute to a positive birth experience and birth experience may mediate the association between PA before and during pregnancy and PPD symptoms. Methods:: The study is part of the prospective-longitudinal cohort study “Dresden Study on Parenting, Work, and Mental Health” (DREAM). Participants were n = 1,254 (expectant) mothers. PA was assessed during pregnancy, birth experience and PPD symptoms 8 weeks postpartum. Multiple regression analyses were performed, including potential confounders. Results:: A negative birth experience was linked to PPD symptoms, when controlling for relevant confounders. There was no evidence for a link between PA before and during pregnancy and birth experience or between PA during pregnancy and PPD symptoms. PA at low and at vigorous intensity before pregnancy was associated with PPD symptoms, but not when controlling for confounders. Because PA was not associated with birth experience, no mediation analysis was performed. Limitations:: The current sample was relatively homogenous (i.e., mostly German native speakers, primiparous, highly educated). Birth experience was assessed retrospectively at 8 weeks following birth. Conclusions:: Our results highlight the importance of the birth experience in the development of PPD symptoms. Promoting a positive birth experience represents a promising approach to prevent PPD symptoms. Further research on the association between PA and PPD symptoms is warranted.