Background: Although physical exercise has been proven to yield beneficial outcomes for individual health, the dose–response association between physical exercise time and depression among adolescents remains unclear. This study aimed to investigate the association between exercise time and depression among adolescents, as well as the dose–response relationship. Methods: A logistic regression analysis was conducted to determine the correlation between physical exercise time and depression among adolescents. The model controlled for age, ethnicity, economic status, parental relationship, divorce, being an only child, and sleep time. A restricted cubic spline model was used to examine the nonlinear dose–response relationship. Results: A significant inverse correlation was demonstrated between adolescents’ physical exercise time and depression (P = .014). Both insufficient exercise (odds ratios = 1.27; 95% CI, 0.98–1.65; P = .072) and excessive level (odds ratios = 2.14; 95% CI, 1.03–4.47; P = .041) showed positive associations with depression. Restricted cubic spline analysis indicated that appropriate exercise (2.0–9.5 h/wk) may prevent depression, while excessive exercise (>9.5 h/wk) may exacerbate it (P-nonlinear < .001, P-overall < .001). Conclusions: Low physical exercise time is associated with higher risk for depressive symptoms in adolescents, whereas excessive exercise is also associated with higher risk of depression, particularly in boys. The findings of this study underscore the importance of adolescents increasing their physical exercise time, but also maintaining a balance to avoid excessive exercise.