This study examines and compares the effect of aerobic and resistance exercise on emotional and physical function among older persons with initially high or low depressive symptomatology. Data are from the Fitness, Arthritis and Seniors Trial, a trial among 439 persons 60 years or older with knee osteoarthritis randomized to health education (control), resistance exercise, or aerobic exercise groups. Depressive symptoms (assessed by the Center for Epidemiologic Studies—Depression scale) and physical function (disability, walking speed, and pain) were assessed at baseline and after 3, 9, and 18 months. Compared with results for the control group, aerobic exercise significantly lowered depressive symptoms over time. No such effect was observed for resistance exercise. The reduction in depressive symptoms with aerobic exercise was found both among the 98 participants with initially high depressive symptomatology and among the 340 participants with initially low depressive symptomatology and was the strongest for the most compliant persons. Aerobic and resistance exercise significantly reduced disability and pain and increased walking speed both, and to an equal extent, in persons with high depressive symptomatology and persons with low depressive symptomatology.