Hypertension, cardiovascular diseases, and cerebrovascular diseases are associated with an increased risk of depression, but it remains unclear whether treatment with antihypertensive agents decreases or increases this risk. The effects of individual drugs are also unknown. We used Danish population-based registers to systematically investigate whether the 41 most used individual antihypertensive drugs were associated with an altered risk of incident depression. Analyses of diuretics were included for comparisons. Participants were included in the study in January 2005 and followed until December 2015. Two different outcome measures were included: (1) a diagnosis of depressive disorder at a psychiatric hospital as an inpatient or outpatient and (2) a combined measure of a diagnosis of depression or use of antidepressants. Continued use of classes of angiotensin agents, calcium antagonists, and β-blockers was associated with significantly decreased rates of depression, whereas diuretic use was not. Individual drugs associated with decreased depression included 2 of 16 angiotensin agents: enalapril and ramipril; 3 of 10 calcium antagonists: amlodipine, verapamil, and verapamil combinations; and 4 of 15 β-blockers: propranolol, atenolol, bisoprolol, and carvedilol. No drug was associated with an increased risk of depression. In conclusion, real-life population-based data suggest a positive effect of continued use of 9 individual antihypertensive agents. This evidence should be used in guiding prescriptions for patients at risk of developing depression including those with prior depression or anxiety and patients with a family history of depression.