Depression is a common problem for many Hong Kong Chinese elderly, especially those living in nursing homes. This study examines the relationship between fear of falling and depressive symptoms as well as the role of participation in physical activity and fall efficacy in the linkage between the fear of falling and depression. A sample of 100 residents living in nursing homes were interviewed. Using multiple regression models, we found that elderly persons who had greater fear of falling tended to report depressive symptoms more frequently after controlling socio-demographic and physical health status variables. In addition, activity involvement and fall efficacy acted as mediators and moderators in the link between the fear of falling and depression. Policy makers and aged care professional practitioners should find these findings valuable in promoting activity to aid in the prevention of depression amongst the elderly population.