The article highlights a study aimed (1) to examine the relations between different doses of physical activity (PA), light PA (LPA), moderate PA (MPA), and vigorous PA (VPA), academic self-efficacy, and depression among adolescents, and (2) to investigate the direct and indirect relations of various doses of PA to depression through academic self-efficacy among middle school adolescents. Findings of this study indicated that academic self-efficacy regulates adolescents’ depression. Tailoring different intensities of PA benefits adolescents’ academic self-efficacy by framing the positive and supportive environment in schools, which can potentially reduce the prevalence of depression during adolescence.