Background: In neurologically healthy individuals, exercise positively impacts depressive symptoms, but there is limited knowledge regarding the association between exercise behaviors and depression after spinal cord injury (SCI). Objective: To examine associations between doing planned exercise and probable major depressive disorder (PMDD) after SCI. Methods: Community-dwelling adults, who were one or more years post traumatic SCI, completed self-report assessments at baseline (Time 1) and an average of 3.29 years later (Time 2). Patient Health Questionnaire-9 was used to assess depressive symptoms. Participants self-reported frequency of doing planned exercise. There were 1,790 participants who responded at both Time 1 and 2. Associations were analyzed using logistic regression. Results: Prevalence of PMDD was 10% at Time 1 and 12% at Time 2. Only 34% of participants at Time 1 and 29% at Time 2 reported doing planned exercise three or more times per week. The majority of participants (47%) reported no change in frequency of doing planned exercise between Times 1 and 2. Significant risk factors for PMDD at Time 2 included low household income ( p = .0085), poor to fair self-perceived health ( p < .0001), and doing less planned exercise at Time 2 ( p = .0005). Meanwhile, number of years post injury ( p = .04), doing planned exercise three or more times per week at Time 1 ( p = .0042), and doing more planned exercise at Time 2 ( p = .0005) were associated with decreased odds of PMDD at Time 2. Conclusion: These results demonstrate that a negative association exists between doing planned exercise and PMDD post SCI. Future longitudinal studies are needed to further explain these findings.