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Patients with major depressive disorder (MDD) often suffer from accompanying symptoms that influence the choice of pharmacotherapy with second-generation antidepressants (SGAs). We conducted a systematic review to determine the comparative effectiveness of citalopram, escitalopram, fluoxetine, fluvoxamine, paroxetine, sertraline, desvenlafaxine, duloxetine, venlafaxine, bupropion, mirtazapine, nefazodone, and trazodone, for accompanying anxiety, insomnia, and pain in patients with MDD.We conducted searches in multiple databases including MEDLINE®, Embase, the Cochrane Library, International Pharmaceutical Abstracts, and PsycINFO, from 1980 through August 2011 and reviewed reference lists of pertinent articles. We dually reviewed abstracts, full-text articles, and abstracted data. We included randomized, head-to-head trials of SGAs of at least 6 weeks' duration. We grouped SGAs into three classes for the analysis: selective serotonin reuptake inhibitors (SSRIs), serotonin norepinephrine reuptake inhibitors, and others. We graded the strength of the evidence as high, moderate, low, or very low based on the Grading of Recommendations Assessment, Development and Evaluation (GRADE) Working Group (GRADE) approach.We located 19 head-to-head trials in total: 11 on anxiety, six on insomnia, and four on pain. For the majority of comparisons, the strength of the evidence was moderate or low: evidence is weakened by inconsistency and imprecision. For treating anxiety, insomnia, and pain moderate evidence suggests that the SSRIs do not differ.Evidence guiding the selection of an SGA based on accompanying symptoms of depression is limited. Very few trials were designed and adequately powered to answer questions about accompanying symptoms; analyses were generally of subgroups in larger MDD trials.