Physical inactivity and advanced age are associated with risk of depressive disorders. Physical activity can reduce depressive symptoms in older subjects with depressive disorders. We investigated whether a walking intervention program may decrease the occurrence of depressive symptoms in inactive post-menopausal women without depression. A total of 121 participants aged 57–75 years were randomly assigned to a six-month moderate intensity walking intervention (three times a week, 40 minutes per session, supervised and home-based) or to a control group (waiting list). Inactivity was assessed using the Physical Activity Questionnaire for the Elderly. Depression levels were measured pre- and post-intervention with the Beck depression inventory (BDI). Several baseline measures were considered as possible predictors of post-intervention BDI score. Participants in the walking intervention showed a significant decrease in depression as compared with controls. Baseline cognitive-BDI subscore, subjective health status, body mass index and adherence were post-intervention BDI score predictors. A six-month, three-session per week, moderate intensity walking intervention with a minimal 50% adherence rate reduces depression in post-menopausal women at risk for depression due to physical inactivity. This type of walking intervention could be considered as a widely accessible prevention strategy to prevent depressive symptoms in post-menopausal women at risk of depression.