The authors compared the associated risk of incident depression between first-time users of low-, medium-, and high-dose levonorgestrel-releasing intrauterine systems (LNG-IUSs). This national cohort study was based on Danish register data on first-time users of LNG-IUSs, 15-44 years of age, between 2000 and 2022. Cox regression and a G-formula estimator were used to report 1-year average absolute risks, risk differences, and risk ratios of incident depression, defined as initiation of an antidepressant or receipt of a depression diagnosis, standardized for calendar year, age, education level, parental history of mental disorders, endometriosis, menorrhagia, polycystic ovary syndrome, dysmenorrhea, leiomyoma, and postpartum initiation. In total, 149,200 women started using an LNG-IUS, among whom 22,029 started a low-dose one (mean age, 22.9 years [SD=4.5]), 47,712 a medium-dose one (mean age, 25.2 years [SD=6.2]), and 79,459 a high-dose one (mean age, 30.2 years [SD=5.6]). The associated subsequent 1-year adjusted absolute risks of incident depression were 1.21% (95% CI=1.06-1.36), 1.46% (95% CI=1.33-1.59), and 1.84% (95% CI=1.72-1.96), respectively. For the users of high-dose LNG-IUSs, the risk ratios were 1.52 (95% CI=1.30-1.74) and 1.26 (95% CI=1.10-1.41) compared with users of the low- and medium-dose LNG-IUSs, respectively. For users of medium-dose LNG-IUSs, the risk ratio was 1.21 (95% CI=1.03-1.39) compared with users of low-dose LNG-IUSs. First-time use of an LNG-IUS was positively associated with incident depression in an LNG-dose-dependent manner across low-, medium-, and high-dose LNG-IUSs. Although the observational design of the study does not permit causal inference, the dose-response relationship contributes to the body of evidence suggesting a relationship between levonorgestrel exposure and risk of depression.