Abstract Background With antidepressants (ADs) having minimal therapeutic effects during the initial weeks of treatment, benzodiazepines (BZDs) are concomitantly used to alleviate depressive symptoms of insomnia or anxiety. However, with mortality risks associated with this concomitant use yet to be examined, it remains unclear as to whether this concomitant therapy offers any benefits in treating depression. Methods We conducted a population-based cohort study using South Korea’s nationwide healthcare database from 2002 to 2017. Of 2.6 million patients with depression, we identified 612,729 patients with incident depression and newly prescribed ADs or BZDs, by excluding those with a record of diagnosis or prescription within the 2 years prior to their incident diagnosis. We classified our study cohort into two discrete groups depending on the type of AD treatment received within 6 months of incident diagnosis—AD monotherapy and AD plus BZD (AD+BZD) therapy. We matched our study cohort in a 1:1 ratio using propensity scores to balance baseline characteristics and obtain comparability among groups. The primary outcome was all-cause mortality, and patients were followed until the earliest of outcome occurrence or end of the study period. We conducted multivariable Cox proportional hazards regression analysis to estimate adjusted hazards ratios (HRs) with 95% confidence intervals (CIs) for the risk of mortality associated with AD+BZD therapy versus AD monotherapy. Results The propensity score-matched cohort had 519,780 patients with 259,890 patients in each group, where all baseline characteristics were well-balanced between the two groups. Compared to AD monotherapy, AD+BZD therapy was associated with an increased risk of all-cause mortality (adjusted HR, 1.04; 95% CI, 1.02 to 1.06). Conclusions Concomitantly initiating BZDs with ADs was associated with a moderately increased risk of mortality. Clinicians should therefore exercise caution when deciding to co-prescribe BZDs with ADs in treating depression, as associated risks were observed.