•Adverse events (AEs) may arise due to physiological effects of antidepressants or nocebo effects.•This systematic review examined the likelihood that an AE was due to nocebo in major depressive disorder.•Worsening psychiatric symptoms, pain and weight gain are likely nocebo effects.•Neurological, sexual and anticholinergic effects are often due to the direct physiology of the antidepressant.•These findings have important implications for how physicians manage reported AEs in clinical care. Adverse events (AEs) are known to occur while patients are treated with placebos, part of the so-called nocebo effect. Yet evidence is limited regarding the likelihood that specific AEs occurring with antidepressant treatment are or are not due to nocebo effects. This study identified 56 placebo-controlled, randomized controlled trials (RCTs) of antidepressant monotherapy for adults with major depressive disorder that reported AE rates in sufficient detail for comparison. Poisson regression analyses compared rates of AEs according to antidepressant class weighted by study population to determine which separated from placebo. A “nocebo index” was also calculated (with 0 defined as the lowest rate and 1 or higher indicating the same or greater rate of an AE in the placebo group). Numerous AEs did not differ statistically between antidepressant classes and placebo including worsening psychiatric symptoms, all forms of pain, weight gain and respiratory symptoms. Nevertheless, a number of AEs were significantly more common in antidepressants than placebos across multiple antidepressant classes. These were predominantly neurological, sexual and anticholinergic effects. Several AEs that separated statistically between antidepressants and placebos nevertheless had moderate nocebo indices (≥0.5). For example, dizziness in SSRIs separated significantly from placebo (OR 1.50, 95%CI 1.13–1.99) but had a nocebo index of 0.67. This study relied on multiple RCTs with subtle design differences. This study identified several AEs that are likely the physiological result of antidepressants and many that likely represent nocebo effects. These results should inform clinical decision making and discussions with patients.