The aim of this study was to identify the factors associated with the combined use of antidepressants and benzodiazepines (BDZs) in patients with major depression. We conducted a case–control study in the public health service of the city of São Paulo, Brazil. The participants were all patients being treated with antidepressants, who were diagnosed with major depression. Patients who received a combination of antidepressants and BDZs were classified as cases, and those who used only antidepressants, as controls. Data were obtained from a pharmacy database, medical records and interviews with the healthcare team. The association of predisposing factors for combined therapy was analysed using logistic regression analysis, and the odds ratios (ORs) and 95% confidence intervals (CIs) were calculated. Of the 1355 users of antidepressants, 265 had major depression, of whom 138 were cases and 127 were controls. The factors associated with combined use were age older than 35 years (OR 2.2, 95% CI 1.0–4.7), absence of comorbidities (OR 2.3, 95% CI 1.4–4.1) and no use of other drugs (OR 1.9, 95% CI 1.1–3.3). Patients with combined use were more likely to exhibit inadequate prescribing, including inappropriate antidepressants (OR 4.7, 95% CI 2.2–9.9), inadequate dosages (OR 3.62, 95% CI 1.4–9.6) and/or a non-recommended duration (OR 66.6, 95% CI 18.4–240.7). The factors identified showed the groups most susceptible to combined use in this population, who in turn are more likely to receive inappropriate prescriptions.