Antidepressant use in Denmark, as in many developed countries, has substantially increased during recent years, coinciding with a decreasing suicide rate. In a nationwide observational cohort study with linkage of registers of all prescribed antidepressants and recorded suicides in Denmark from 1995 to 2000, we investigated the relation between continued treatment with antidepressants and suicide in a population of all patients discharged from hospital psychiatry with a diagnosis of depressive disorder. Patients discharged from hospital psychiatry with a diagnosis of depressive disorder had a highly increased rate of suicide. Those who continued treatment with antidepressants had a decreased rate of suicide compared with those who purchased antidepressants once (rate ratio: 0.31, 95% confidence interval: 0.26–0.36). Further, the rate of suicide decreased consistently with the number of prescriptions. On individualized data from a cohort of patients with a known history of depressive disorder, continued antidepressant treatment was associated with reduced risk of suicide.