Background Males have a lower prevalence of depression than females and testosterone may be a contributing factor. A comparison of opposite-sex and same-sex twins can be used indirectly to establish the role of prenatal testosterone exposure and the risk of depression. We therefore aimed to explore differences in depression risk using opposite-sex and same-sex twins. Methods We included 126 087 opposite-sex and same-sex twins from the Danish Twin Registry followed in nationwide Danish registers. We compared sex-specific incidences of depression diagnosis and prescriptions of antidepressants between opposite-sex and same-sex twins using Cox proportional hazard regression. Results During follow-up, 2664 (2.1%) twins were diagnosed with depression and 19 514 (15.5%) twins had purchased at least one prescription of antidepressants. First, in male twins, we found that the opposite-sex male twins had the same risk of depression compared to the same-sex male twins {hazard ratio (HR) = 1.01 [95% confidence interval (CI) 0.88-1.17)]}. Revealing the risk of use of antidepressants, the opposite-sex male twins had a slightly higher risk of 4% (HR = 1.04 (95% CI 1.00-1.11)) compared with the same-sex male twins. Second, in the female opposite-sex twins, we revealed a slightly higher, however, not statistically significant risk of depression (HR = 1.08 (95% CI 0.97-1.29)) or purchase of antidepressants (HR = 1.01 (95% CI 0.96-1.05)) when compared to the same-sex female twins. Conclusions We found limited support for the hypothesis that prenatal exposure to testosterone was associated with the risk of depression later in life.