There is increasing evidence that depression may affect diet. However, little is known about the association between depression and diet quality among foreign-born Latinas. We hypothesized that depressive symptoms would be associated with poorer diet quality in foreign-born Latinas. Furthermore, we believed that physical activity (PA) would have a protective effect on diet quality for individuals experiencing depressive symptoms. Our study evaluated the diet (Healthy Eating Index) and PA (Actigraph GT3X activity monitors) of 534 foreign-born Latinas with and without depressive symptoms (Center for Epidemiological Studies Depression Scale). A series of logistic regression models were estimated to examine our hypotheses. As predicted, Latinas who were depressed had significantly lower odds of having a high-quality diet than non-depressed Latinas. Unexpectedly, among Latinas who met PA guidelines, depressed Latinas had a significantly lower probability of having higher-quality diets than their non-depressed counterparts. Our findings support current research stating that depressive symptoms are associated with lower Healthy Eating Index scores. More research is necessary to elucidate the relationship between PA and dietary quality of depressed Latinas. Innovative approaches to address mental health and the stressors that can compound its severity are needed to improve diet quality among foreign-born Latina women.