Background/Objective: To investigate the psychological symptom burden in patients with pancreatic cancer. Methods: We used Danish population-based registries to identify 10,793 pancreatic cancer patients and 109,238 age and gender matched cancer-free comparison persons between the years 2000–2016. The cohorts were followed up to five years for first prescription for antidepressants, anxiolytics or hypnotics as proxies for the psychological symptom burden of depression, anxiety or insomnia. Cumulated incidence proportions were analysed using the pseudo-value approach and hazards were estimated with Cox regression models adjusted for potential confounders. Results: The highest HR for first antidepressant use was seen in the first six months after diagnosis (HR 8.73 (95% CI: 7.57; 10.06)). Within the first two years the overall estimated cumulated probability of 12.9% (95% CI: 12%; 13.8%) in pancreatic cancer patients, and 4.6% (95% CI: 4.5%; 4.8%) in comparisons, and 20.4% and 31.4% patients received first prescription of anxiolytics or hypnotics, respectively. We found no difference in HRs of first antidepressant by gender, year of diagnosis, cohabitation, education or comorbidity in the patient cohort, however younger age (<59 years) was associated with depression. Conclusions: Pancreatic cancer patients are at risk for first antidepressant, anxiolytic and hypnotic use up to five years after diagnosis. Patients younger than 59 years, newly diagnosed with advanced pancreatic cancer, and not treated with surgery were more likely to have first antidepressant use. The study calls for interventions to reduce the psychological burden in advanced pancreatic cancer patients which may improve quality of life and survival.