Abstract Background With the growth of the elderly population in Brazil and the increasing impact of depression and anxiety, the importance of preventing these disorders has been highlighted. Studies have shown an inverse relationship between rates of depression/anxiety and physical activity, pointing out its role as a possible protective factor. Objectives To conduct a randomized study with elderly adults in the community, who present with subsyndromal depression and anxiety, that will evaluate the effectiveness of physical activity with a collaborative stepped-care strategy; and to compare the effectiveness of physical activity in preventing subsyndromal depression and anxiety, with regard to the usual care group. Methods The article contains the methodological description of an arm of a large study entitled “Prevention and Treatment of Depression in Elderly”, in which 2,566 Brazilian older adults were screened to identify clinically significant depressive and anxiety symptoms. Those with clinically significant depressive or anxiety symptoms, not meeting criteria for depressive or anxiety disorder, will be invited to participate in a randomized clinical trial with 2 intervention groups: a step-by-step preventive care programme using physical activity, and usual care. The effectiveness of physical activity in the prevention of depressive and anxiety disorders will be evaluated. Discussion New health policies could be implemented, aiming to reduce the number of elderly people with depression and anxiety in primary care. In addition, training may be implemented for family health teams so that screening tools could be used to make an early identification of individuals with (or at risk of developing) mental disorders.