Selective serotonin reuptake inhibitors (SSRIs) are used worldwide as the first-line pharmacological treatment for depression. Although SSRI use can increase the risk of suicide, fractures, and infertility, the nature of these relationships is controversial. This review reports confounding by indication and confounding by severity for SSRI side effects in previously published observational studies. The PubMed and Google Scholar databases were searched for English-language articles published from 2005 to 2022. SSRIs are often prescribed for depressive symptoms, and depression is associated with an increased risk of side effects. Therefore, confounding by indication, whereby patients are selected for a particular treatment depending on their diagnosis or severity of illness, may lead to erroneous treatment conclusions, resulting in an adverse outcome. The side effects of SSRIs that can be considered due to confounding by indication or severity include suicide, fractures, infertility, atrial fibrillation, stroke, autism spectrum disorder, and congenital malformation. When prescribing SSRIs for depression, physicians must consider confounding by indication and severity in the management of side effects. In addition, medication discontinuation should be carefully considered when side effects occur during the treatment.