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Background: Depression is common after a cancer diagnosis and is associated with an increased mortality, but it is unclear whether depression occurring before the cancer diagnosis affects cancer mortality. We aimed to study cancer mortality of people treated with antidepressants before cancer diagnosis. Methods and Findings: We conducted a population based cohort study of all adults diagnosed with cancer between January 2003 and December 2010 in Denmark (N = 201,662). We obtained information on cancer from the Danish Cancer Registry, on the day of death from the Danish Civil Registry, and on redeemed antidepressants from the Danish National Prescription Registry. Current users of antidepressants were defined as those who redeemed the latest prescription of antidepressant 0–4 months before cancer diagnosis (irrespective of earlier prescriptions), and former users as those who redeemed the latest prescription five or more months before cancer diagnosis. We estimated an all-cause one-year mortality rate ratio (MRR) and a conditional five-year MRR for patients who survived the first year after cancer diagnosis and confidence interval (CI) using a Cox proportional hazards regression model. Overall, 33,111 (16.4%) patients redeemed at least one antidepressant prescription in the three years before cancer diagnosis of whom 21,851 (10.8%) were current users at the time of cancer diagnosis. Current antidepressant users had a 32% higher one-year mortality (MRR = 1.32, 95% CI: 1.29–1.35) and a 22% higher conditional five-year mortality (MRR = 1.22, 95% CI: 1.17–1.26) if patients survived the first year after the cancer diagnosis than patients not redeeming antidepressants. The one-year mortality was particularly high for patients who initiated antidepressant treatment within four months before cancer diagnosis (MRR = 1.54, 95% CI: 1.47–1.61). Former users had no increased cancer mortality. Conclusions: Initiation of antidepressive treatment prior to cancer diagnosis is common and is associated with an increased mortality. [ABSTRACT FROM AUTHOR]