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Previous studies have found depression to be negatively associated with the prognosis of both cardiovascular disease (CVD) and cancer, but this may partly reflect reverse causality. We limited the possibility of reverse causality by measuring depression before the first diagnosis of CVD or cancer.We used an 11% longitudinal random sample of the Finnish population aged 25 years or older who are residents of Finland for at least 1 year between 1987 and 2007, with an 80% oversample of those who died during this period. Those who had their first incidence of coronary heart disease (CHD) (n=107 966), stroke (n=68 685) or cancer (n=113 754) between 1998 and 2012 were followed up for cause-specific mortality from the date of diagnosis until the end of 2012. Depression was defined as having antidepressant purchases two to three calendar years before the incidence. Logistic and Cox regression models were used to examine short-term and long-term mortality by depression status.Long-term mortality after diagnosis was 1.34 (95% CI 1.25 to 1.44) for CHD, 1.26 (95% CI 1.15 to 1.37) for stroke and 1.10 (95% CI 1.04 to 1.16) for cancer in those who had used antidepressants in two consecutive calendar years as compared with those with no purchases. Short-term mortality from CHD was elevated among persons with depression (OR=1.30; 95% CI 1.06 to 1.61), but no association was found for stroke.Pre-existing depression is associated with a worse prognosis of CHD, stroke and cancer. More attention in the healthcare system is needed for patients with chronic diseases who have a history of depression.