As of 1 July 2018, the Korean National Health Insurance Service (NHIS) changed the fee schedule for individual psychotherapy (IP). We sought to analyze the impact of the IP payment scheme changes on the medication adherence and persistence of patients diagnosed with depression in Korea. We utilized the NHIS claims database from 2017 to 2019. Patients who were newly diagnosed with depression and utilized IP and were prescribed antidepressants during the study period were included. Adherence was measured using the medication possession ratio (MPR), and persistence was measured using the length of therapy (LOT) during the follow-up period. Adherence and persistence during the pre-policy period (before the change of the payment scheme, from January 2018 until June 2018) and the post-policy period (after the change, from July 2018 until December 2019) were compared. During the study period, a total of 176,740 patients with depression were identified. The average MPR significantly increased from 0.20 to 0.33 in the pre- and post-policy periods, respectively (p < 0.001). The average LOT of the patients improved considerably from 36 to 56 days in the pre- and post-policy periods, respectively (p < 0.001). Poisson regression analysis showed that patients with depression who were female, 19–34 years of age (vs. 50–64 years or over 64 years), and in the post-policy period were significantly associated with greater adherence and persistence rates. Payment scheme changes were associated with an increased adherence and persistence of medication use among patients diagnosed with depression.