There are not many studies that have examined the potential link between chemical/hormonal birth control and depression. A few have found a possible link, but nothing definitive.
A study from Denmark, published in JAMA Psychiatry, looked at health data for more than a million women over a fourteen year period and found that a large proportion of women taking contraceptive hormonal treatments were also on anti-depressant medications. Headlines went wild about the study, but most missed the point entirely.
Hormonal contraceptives did not necessarily raise depression risks.
What the study found was that many women on anti-depressants were also using hormonal contraception. The correlation was not causal, only coincidental. Statistical analysis of the study found that the increased risk of developing depression because of the birth control pill would be about half of one percent. In other words, statistically insignificant.
The study did find some other interesting results, however. Risks in younger women, especially teenagers, who were on hormonal contraceptives were significantly raised versus women who were older. This could merit further study.
Again, findings were correlations, not causation. Two things happening at the same time are not always linked or related. Because depression is relatively common and use of contraception is also common, there are bound to be correlations. Although the study's authors did attempt to account for this and narrow the results, the findings were still not conclusive enough for most reproductive medicine experts to take much note. Instead, calls for further study and a better understanding of how various methods affecting depression risks were made.