The mental health benefits of resistance training (RT) alone or beyond those provided by aerobic physical activity (PA) are unclear. This study aimed to determine the association between meeting recommendations for aerobic PA and/or RT, and symptoms of depression and/or anxiety. Participants were Australian female members of the 10,000 Steps project (n = 5180, 50.0 ± 11.5 years). Symptoms of depression and anxiety were determined using the Depression Anxiety Stress Score. Participants were grouped as ‘depression only’, ‘anxiety only’, ‘co-occurring depression and anxiety’ or ‘neither depression nor anxiety’ based on relevant subscale score (cut-points: depression≥14 points, anxiety≥10 points). The International Physical Activity Questionnaire-Long Form questionnaire was used to determine PA with an additional item to specify RT frequency. Participants were classified as adhering to ‘aerobic PA only’ (≥150 min PA/week), ‘RT only’ (RT ≥ 2 days/week), ‘aerobic PA + RT’ (≥150 min PA/week+RT ≥ 2 days/week), or ‘neither aerobic PA nor RT’ (<150 min PA/week+RT < 2 days/week). Adjusted relative risk ratios (RRR [95%CI]) were estimated using multinomial logistic regression models. Relative to the ‘neither PA nor RT’ (n = 2215), the probabilities of ‘depression only’ (n = 317) and ‘co-occurring depression and anxiety’ (n = 417) were lower for the ‘aerobic PA only’ (n = 1590) (RRR = 0.74 [0.56–0.97] and RRR = 0.76 [0.59–0.97] respectively), and ‘both PA + RT’ (n = 974) groups (RRR = 0.61 [0.43–0.86] and RRR = 0.47 [0.33–0.67] respectively). There were no associations between adhering to one or both recommendations and ‘anxiety only’ (n = 317), or between ‘RT only’ (n = 401) and depression and/or anxiety. Prevention and treatment strategies including both aerobic PA and RT may provide additional benefits for depression with or without comorbid anxiety.