As many countries find that their health care expenditure is taking up an increasing proportion of their financial resources, economic aspects of care processes have become more important in the choice of optimal strategies. This review of the economic studies of the comparative treatment of depression shows that nearly every aspect of treatment has important economic consequences. Cost‐of‐illness studies have documented the high burden on society of this disorder, and the associated loss of productivity and work. Comparative cost‐effectiveness/utility studies, the majority of which are based on modelling techniques, have consistently shown a better cost‐effectiveness ratio of the newer antidepressants over more traditional tricyclic antidepressants (TCAs), when all therapy‐related costs are taken into account.