Depression is a common comorbidity of adult attention-deficit/hyperactivity disorder (ADHD), and the combination of methylphenidate and selective serotonin reuptake inhibitors (SSRIs) is a frequently prescribed treatment. However, there is limited clinical evidence on the safety of this medication combination in adults with ADHD. To evaluate the safety of administering a combination of SSRI and methylphenidate in adults with ADHD and comorbid depression. This cohort study obtained data from a nationwide claims database in South Korea from January 2016 to February 2021. Participants were adults aged 18 years or older with a diagnosis of ADHD and depressive disorder who were prescribed methylphenidate. Comparisons of 4 groups who received prescriptions were conducted: (1) SSRI plus methylphenidate (hereafter, SSRI) group vs methylphenidate-only group and (2) methylphenidate plus fluoxetine (hereafter, fluoxetine) group vs methylphenidate plus escitalopram (hereafter, escitalopram) group (compared to find a preferable treatment option). Data analysis was conducted between July and December 2023. New users of the methylphenidate and SSRI combination among adults with both ADHD and depressive disorder. A total of 17 primary and secondary outcomes, including neuropsychiatric and other events, were assessed, with respiratory tract infection used as a control outcome. Groups were matched at a 1:1 ratio using a propensity score to balance confounders. A Cox proportional hazards regression model was used to calculate hazard ratio (HRs) and 95% CIs. Subgroup analysis by sex and sensitivity analyses in varying epidemiologic settings were conducted. The study included 17 234 adults with ADHD (mean [SD] age at study entry, 29.4 [10.8] years; 9079 females [52.7%]). There was no difference in the risk of outcomes between the methylphenidate-only and SSRI groups, except for a lower risk of headache in the SSRI group (HR, 0.50; 95% CI, 0.24-0.99). In sensitivity analyses of fluoxetine vs escitalopram, the risk of hypertension (HR: 1:n matching, 0.26; 95% CI, 0.08-0.67) and hyperlipidemia (HR: 1:n matching, 0.23; 95% CI, 0.04-0.81) was lower in the fluoxetine group than in the escitalopram group. Results of this study revealed no significant increase in adverse event risk associated with use of SSRI plus methylphenidate vs methylphenidate alone in adults with ADHD and comorbid depression. Instead, the combination was associated with a lower risk of headache.