Primary hyperparathyroidism (PHPT) is a common endocrine disorder associated with neuropsychiatric symptoms. Although parathyroidectomy has been associated with improvement of preexisting depression among adults with PHPT, the effect of parathyroidectomy on the development of new depression is unknown. To determine the effect of early parathyroidectomy on the incidence of new depression among adults with PHPT compared with nonoperative management. Analyzed data included observational national Veterans Affairs data from adults with a new diagnosis of PHPT from 2000 through 2019 using target trial emulation with cloning, a biostatistical method that uses observational data to emulate a randomized clinical trial. New depression rates were compared between those treated with early parathyroidectomy vs nonoperative management using an extended Cox model with time-varying inverse probability censoring weighting, adjusted for patient demographics, comorbidities, and depression risk factors. Eligible adults with a new biochemical diagnosis of PHPT, excluding those with past depression diagnoses, residing in an assisted living/nursing facility, or with Charlson Comorbidity Index score higher than 4 were included. These data were analyzed January 4, 2023, through June 15, 2023. Early parathyroidectomy (within 1 year of PHPT diagnosis) vs nonoperative management. New depression, including among subgroups according to patient age (65 years or older; younger than 65 years) and baseline serum calcium (11.3 mg/dL or higher; less than 11.3 mg/dL). The study team identified 40 231 adults with PHPT and no history of depression of whom 35896 were male (89%) and the mean (SD) age was 67 (11.3) years. A total of 3294 patients underwent early parathyroidectomy (8.2%). The weighted cumulative incidence of depression was 11% at 5 years and 18% at 10 years among patients who underwent parathyroidectomy, compared with 9% and 18%, respectively, among nonoperative patients. Those treated with early parathyroidectomy experienced no difference in the adjusted rate of new depression compared with nonoperative management (hazard ratio, 1.05; 95% CI, 0.94-1.17). There was also no estimated effect of early parathyroidectomy on new depression in subgroup analyses based on patient age or serum calcium. In this study, there was no difference in the incidence of new depression among adults with PHPT treated with early parathyroidectomy vs nonoperative management, which is relevant to preoperative discussions about the benefits and risks of operative treatment.