Background: There is a wide range in the reported prevalences of depression in patients with systemic lupus erythematosus (SLE), while the prevalence of depression in patients with cutaneous lupus erythematosus (CLE) remains severely understudied. Objectives: To examine whether patients with SLE or CLE have an increased risk of depression. Methods: In this nationwide observational cohort study, we included patients aged ≥ 18 years with a first-time diagnosis of SLE or CLE between 2000 and 2015 identified in the Danish National Patient Register, which were matched with the general population in a ratio of 1 : 10. After linkage to national Danish health registers of primary and secondary care, analyses of risk for depression and antidepressant use were performed using Cox regression models adjusted for age, sex, socioeconomic status, smoking, alcohol abuse, prior depression and prior antidepressant use. Results: A total of 3489 patients with lupus erythematosus were followed for 23 373 person-years. Compared with the general population, the adjusted hazard ratios (HRs) of depression were 2·07 [95% confidence interval (CI) 1·55–2·75] and 2·22 (95% CI 1·77–2·77) for patients with CLE and SLE, respectively; for hospitalization owing to depression at a department of psychiatry HRs were 2·63 (95% CI 0·80–8·67) and 3·52 (95% CI 1·53–8·11) for patients with CLE and SLE, respectively. The adjusted HRs for antidepressant use were 1·47 (95% CI 1·34–1·63) and 1·70 (95% CI 1·58–1·83) for patients with CLE and SLE, respectively. Conclusions: The risk of depression was significantly increased in patients with SLE and CLE. Awareness of an increased risk of depression in patients with SLE and CLE might be warranted.