Earlier it has been found that female Seventh-day Adventists (SDA) and Baptists have an increased incidence of psychiatric affective disorders, in contrast to findings that religious practice is associated with better health. In this study, we examined whether the increase in incidence is due to less use of prescribed antidepressants, sedatives and antipsychotics by members of these religious societies than by the general population. In a cohort study, we examined records of all drugs redeemed by 3121 SDA and 2888 Baptists and 29,817 age- and gender-matched members of the general population between 1995 and 2010 in the Danish Prescription Register and compared the prevalence and incidence of use of antidepressants, sedatives and antipsychotics. The prevalence of antidepressant use by women was lower in 1998 but no different from that in controls in 2003 and 2008; the prevalence of antidepressant use by men was higher in both 1998 and 2008 than in the Danish population. The incidence of antidepressant use was lower for female members in 1996–2000, but no difference was observed in the other periods. The prevalence and incidence of use of sedatives and antipsychotics did not consistently differ from those of the general population. The prevalence and incidence of use of antidepressants, sedatives and antipsychotics by female SDA and Baptists were not consistently lower than in the general Danish population. Our findings hence do not explain the increased incidence of psychiatric disorders among female members of these Danish religious societies.