Depression, chronic stress, and low levels of social support have known associations with cardiovascular disease (CVD). Physical activity has been shown to promote psychological health, reduce the frequency of depressive symptoms, and is associated with fewer cardiovascular events in depressed subjects with known CVD. The purpose of the present study was to test the hypothesis that physical activity attenuates the association between psychosocial factors and incident CVD. The Multi-Ethnic Study of Atherosclerosis cohort includes 6,814 participants free of clinical CVD at baseline. Complete data on physical activity were available for 6,795 subjects (mean age 62 years; 47% men). Psychosocial factors were assessed using standardized questionnaires. Cox proportional hazard models were used to evaluate the association between psychosocial factors and CVD events and its modulation by physical activity. In models adjusted for age, gender, and race/ethnicity, both depression and chronic burden were associated with CVD events (hazard ratio [HR] = 1.38 [1.04 to 1.84], p = 0.028 for depression; HR = 1.15 [1.05 to 1.24], p = 0.001 for chronic burden). Adjusting for physical activity, the relation between depression, chronic burden, and CVD events was not significantly reduced (HR = 1.35 [1.02 to 1.80], p = 0.039 for depression; HR = 1.14 [1.05 to 1.23], p = 0.001 for chronic burden). Although physical activity is an important component of physical and psychological health and well-being, it did not significantly attenuate the strong relation between depression or chronic burden and incident CVD.