Objectives To investigate healthcare resource utilization (HRU) and associated costs by depression severity and year of diagnosis among patients with treatment-resistant depression (TRD) in Denmark. Methods Including all adult patients with a first-time hospital contact for major depressive disorder (MDD) in 1996–2015, TRD patients were defined at the second shift in depression treatment (antidepressant medicine or electroconvulsive therapy) and matched 1:2 with non-TRD patients. The risk of utilization and amount of HRU and associated costs including medicine expenses 12 months after the TRD-defining date were reported, comparing TRD patients with non-TRD MDD patients. Results Identifying 25,321 TRD-patients matched with 50,638 non-TRD patients, the risk of psychiatric hospitalization following TRD diagnosis was 138.4% (95%-confidence interval: 128.3–149.0) higher for TRD patients than for non-TRD MDD patients. The number of hospital bed days and emergency department (ED) visits were also higher among TRD patients, with no significant difference for somatic HRU. Among patients who incurred healthcare costs, the associated HRU costs for TRD patients were 101.9% (97.5–106.4) higher overall, and 55.2% (50.9–59.6) higher for psychiatric services than those of non-TRD patients. The relative differences in costs for TRD-patients vs non-TRD patients were greater for patients with mild depression and tended to increase over the study period (1996–2015), particularly for acute hospitalizations and ED visits. Limitations TRD was defined by prescription patterns besides ECT treatments. Conclusion TRD was associated with increased psychiatric-related HRU. Particularly the difference in acute hospitalizations and ED visits between TRD and non-TRD patients increased over the study period.