The aim of this study was to quantify the risk of hair loss with different antidepressants. A retrospective cohort study design using a large health claims database in the USA from 2006 to 2014 was utilized. A cohort of new user and mutually exclusive users of fluoxetine, fluvoxamine, sertraline, citalopram, escitalopram, paroxetine, duloxetine, venlafaxine, desvenlafaxine, and bupropion were followed to the first diagnosis of alopecia. The cohort was comprised of 1 025 140 new users of fluoxetine, fluvoxamine, sertraline, citalopram, escitalopram, paroxetine, duloxetine, venlafaxine, desvenlafaxine, and bupropion, with sertraline the most commonly prescribed (N=190 227) and fluvoxamine (N=3010) the least prescribed. Compared with bupropion, all other antidepressants had a lower risk of hair loss, with fluoxetine and paroxetine having the lowest risk [hazard ratio (HR)=0.68, 95% confidence interval (CI): 0.63–0.74, HR=0.68, 95% CI: 0.62–0.74, respectively] and fluvoxamine having the highest risk (HR=0.93, 95% CI: 0.64–1.37). Compared with fluoxetine, bupropion had the highest risk of hair loss (HR=1.46, 95% CI: 1.35–1.58, number needed to harm=242 for 2 years) and paroxetine had the lowest risk (HR=0.99, 95% CI: 0.90–1.09). The results of this large population-based cohort study suggest an increase in the risk of hair loss with bupropion compared with selective serotonin reuptake inhibitors and selective norepinephrine reuptake inhibitors, whereas paroxetine had the lowest risk.