Objective. The aim of this study was to examine the association between physical fitness and depressive symptoms in women with fibromyalgia (FM). We also assessed whether different fitness components present independent relationships with depressive symptoms. Design. Cross-sectional study. Setting. University facilities and FM associations. Subjects. Four hundred and forty-four patients with FM according to the 1990 American College of Rheumatology criteria. Methods. Depressive symptoms were assessed using the Beck Depression Inventory (BDI-II). Physical fitness (aerobic fitness, muscle strength, flexibility, and motor agility) was assessed using the standardized Senior Fitness Test battery and the handgrip strength test. A standardized composite score for fitness was computed and divided into quintiles. Results. Overall, the fitness tests presented inverse associations with the total BDI-II score (P < 0.05). The patients in the highest fitness quintile had 8.4% lower depressive symptoms than the patients in the lowest fitness quintile (P = 0.014). The odds of severe symptoms of depression were between 3.7% and 16.9% lower for each performance unit in the back-scratch, handgrip, arm-curl, and eight-feet up-and-go tests. When all the fitness tests were simultaneously considered, the back-scratch test was the only one independently associated with the total BDI-II score (P = 0.001; R-2 = 0.023). Conclusions. Although higher physical fitness was generally associated with lower symptoms of depression in women with FM, the observed associations were somewhat weak and inconsistent, differing from those previously observed in healthy adults. Further research to determine the clinical relevance of the association between physical fitness and depression in FM is warranted.