An important factor for averting depression and creating awareness about clinical treatment is patient preference. Therefore, investigating health-related quality of life associated with different antidepressants is necessary. A retrospective cohort study was performed using the 2018 Medical Expenditure Panel Survey. The MEPS is a nationally representative database of the civilian and noninstitutionalized population spanning different ages, both sexes, and a wide range of sociodemographic and economic backgrounds. Differences in clinical and sociodemographic characteristics among patients using different antidepressant classes were explored. The differences in Veterans RAND 12-Item Health Survey (VR-12) results among groups were examined. The VR-12 metric was used since it measures a patient’s overall perspective of their health. Approximately 34.6 million of the patients reported using at least one antidepressant during 2018. Most patients receiving tricyclic therapy reported substantially better mental HRQoL than patients receiving selective serotonin reuptake inhibitors (SSRIs), serotonin-norepinephrine reuptake inhibitors (SNRIs), or combination therapy. Patients receiving atypical antidepressants reported substantially better mental HRQoL than those receiving other types of antidepressants. Most patients reported a substantial decline in HRQoL after SNRIs or combination therapy. This study found that HRQoL varied across antidepressant users. Thus, health care providers could benefit from taking into consideration quality of life when prescribing antidepressant agents. Moreover, further research is needed to explore other factors that could contribute to the quality of care for patients with depression.