There is variation in the safety profile of antidepressants. Rates of adverse events along with the costs of treating them can be an important factor influencing the choice of depression treatment. This study sought to estimate the comparative safety of commonly prescribed antidepressants, and how the costs of treating these varied across European countries. A systematic literature review was conducted (in Medline, Embase, PsycINFO and CENTRAL) to identify placebo-controlled trials reporting rates of at least one type of sexual dysfunction, weight change, insomnia, anxiety, and anhedonia. Eight antidepressants were considered: duloxetine, escitalopram, fluoxetine, paroxetine, sertraline, trazodone, venlafaxine, and vortioxetine. This evidence was synthesised via Bayesian random effects network meta-analyses to provide comparative estimates of safety. A systematic search identified country-specific costs of managing depression and adverse events of antidepressants. Evidence on costs and safety was combined in an economic model to provide country-specific costs for Bulgaria, the Czech Republic, Greece, Hungary, Italy, Romania, Slovakia, Portugal, and Poland. Trazodone had the lowest rates of both insomnia (odds ratio 0.66, 95% credible interval 0.31 to 1.38) and anxiety (0.13, <0.01 to 1.80). All antidepressants were associated with increased rates of sexual dysfunction relative to placebo. Weight change was largest for fluoxetine (kg change -1.01, -1.40 to -0.60) and sertraline (-1.00, -1.36 to -0.65), although heterogeneity was extreme for this outcome. No evidence was identified for anhedonia. Total costs were lowest for trazodone in all nine of the countries evaluated. This was primarily due to reduced rates of treatment discontinuation. Trazodone generally had the best safety profile of the antidepressants evaluated. This led to healthcare costs being lowest for trazodone in all nine European countries, emphasising the importance of considering rates of adverse events when choosing a pharmacological treatment to treat symptoms of depression.