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As in many developed countries, the use of antidepressants in Denmark has been substantially increasing during recent years, coinciding with a decreasing suicide rate. We aimed to investigate the relationship between treatment with antidepressants and suicide on individualized data from a nationwide study comprising an observational cohort study with linkage of registers of all prescribed antidepressants and recorded suicides in Denmark during the period 1995–99. A total of 438 625 patients who purchased at least one prescription of antidepressants and 1073 862 individuals from the general population were included in the study. Patients who continued treatment with selective serotonin reuptake inhibitors (SSRIs) (i.e. who purchased SSRIs twice or more) had a decreased rate of suicide compared with patients who purchased SSRIs once only [rate ratio (RR)=0.63; 95% confidence interval (CI)=0.56–0.71]. Furthermore, the rate of suicide decreased consistently with the number of prescriptions. Similarly, among patients treated with newer antidepressants other than SSRIs, the rate of suicide was decreased compared with the rate for patients who purchased other newer antidepressants once only (RR=0.70; 95% CI=0.52–0.94). Continued antidepressant treatment with SSRIs or other newer antidepressants is found to be associated with a reduced risk of suicide.