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Millions of women worldwide use hormonal contraception. Despite the clinical evidence of an influence of hormonal contraception on some women’s mood, associations between the use of hormonal contraception and mood disturbances remain inadequately addressed.To investigate whether the use of hormonal contraception is positively associated with subsequent use of antidepressants and a diagnosis of depression at a psychiatric hospital.This nationwide prospective cohort study combined data from the National Prescription Register and the Psychiatric Central Research Register in Denmark. All women and adolescents aged 15 to 34 years who were living in Denmark were followed up from January 1, 2000, to December 2013, if they had no prior depression diagnosis, redeemed prescription for antidepressants, other major psychiatric diagnosis, cancer, venous thrombosis, or infertility treatment. Data were collected from January 1, 1995, to December 31, 2013, and analyzed from January 1, 2015, through April 1, 2016.Use of different types of hormonal contraception.With time-varying covariates, adjusted incidence rate ratios (RRs) were calculated for first use of an antidepressant and first diagnosis of depression at a psychiatric hospital.A total of 1 061 997 women (mean [SD] age, 24.4 [0.001] years; mean [SD] follow-up, 6.4 [0.004] years) were included in the analysis. Compared with nonusers, users of combined oral contraceptives had an RR of first use of an antidepressant of 1.23 (95% CI, 1.22-1.25). Users of progestogen-only pills had an RR for first use of an antidepressant of 1.34 (95% CI, 1.27-1.40); users of a patch (norgestrolmin), 2.0 (95% CI, 1.76-2.18); users of a vaginal ring (etonogestrel), 1.6 (95% CI, 1.55-1.69); and users of a levonorgestrel intrauterine system, 1.4 (95% CI, 1.31-1.42). For depression diagnoses, similar or slightly lower estimates were found. The relative risks generally decreased with increasing age. Adolescents (age range, 15-19 years) using combined oral contraceptives had an RR of a first use of an antidepressant of 1.8 (95% CI, 1.75-1.84) and those using progestin-only pills, 2.2 (95% CI, 1.99-2.52). Six months after starting use of hormonal contraceptives, the RR of antidepressant use peaked at 1.4 (95% CI, 1.34-1.46). When the reference group was changed to those who never used hormonal contraception, the RR estimates for users of combined oral contraceptives increased to 1.7 (95% CI, 1.66-1.71).Use of hormonal contraception, especially among adolescents, was associated with subsequent use of antidepressants and a first diagnosis of depression, suggesting depression as a potential adverse effect of hormonal contraceptive use.