Higher pre-pandemic PA was associated with reduced odds of depression (OR = 0.964, 95%CI [0.948, 0.981]) and anxiety (OR = 0.976, 95%CI [0.953, 1.000]), whereas elevated CRP was associated with 1.343 times higher odds of depression (95%CI [1.100, 1.641]). Here, CRP is linked to major depressive disorder.