This paper investigates the relationship between physical activity and depressed mood, under conditions of family conflict. We analyze data from a representative sample of 7,232 Icelandic adolescents. Analysis of variance was carried out to test for main and interaction effects. The study shows that while family conflict increases the likelihood of depressed mood, among adolescents, physical activity decreases the likelihood of depressed mood. Furthermore, physical activity plays a more important role among those adolescents living in aversive circumstances, than other adolescents, as family conflict and physical activity interact in the effect on depressed mood for adolescents living in such circumstances. The findings highlight the role of physical activity in decreasing mental distress among adolescents, especially those living in aversive circumstances at home.