Background: Psoriasis impairs quality of life, but it is unknown whether psoriasis is also an independent risk factor for depression. Objectives: To evaluate the incidence and risk of new and recurrent depression in patients with psoriasis. Methods: We used individual-level linkage of Danish administrative registers. Patients with psoriasis aged ≥ 18 years between 1 January 1997 and 31 December 2016 were matched 1 : 1 with individuals without psoriasis. Incidence rates were calculated and adjusted hazard ratios (HRs) estimated by Cox regression. Results: There were 247 755 patients with psoriasis: 220 721 were treated with topicals (mild psoriasis), 24 771 with systemic nonbiologics (moderate psoriasis) and 2263 with biological therapy (severe psoriasis). The same number of matched referents without psoriasis were also analysed. During a maximum 20 years of follow-up, 45 641 patients with psoriasis and 36 299 referents developed depression. In adjusted models, the HRs (95% confidence interval) of depression were 1·19 (1·17–1·20), 1·19 (1·15–1·23) and 1·50 (1·23–1·84) for mild, moderate and severe psoriasis, respectively. The highest risk was observed among patients with severe psoriasis aged 40–50 years. Concurrent inflammatory bowel disease, but not psoriatic arthritis, was associated with increased risk of depression. The incidence of depression was markedly higher among patients with previous depression. Conclusions: Psoriasis was independently associated with risk of depression. These results may help clinicians identify particularly high-risk individuals.