A number of preclinical and clinical studies have suggested that omega-3 fatty acids have a prophylactic effect against depression. The aim of this study was to explore the effect of eicosapentaenoic acid (EPA) on development of depression among Japanese patients with hyperlipidemia. This was a 3-year follow up study based on medical claims data obtained from Japan Medical Data Center. A total of 76,561 patients were eligible for the final analyses. The exposure group included EPA drug users categorized into 2 groups based on adherence to EPA using the Medication Possession Ratio (MPR) with a cutoff of 80%. The control group (non-EPA group) consisted of subjects taking lipid-lowering medications other than EPA. A Cox proportional hazard model was used to evaluate the association between EPA drug use and the development of depression. Over 3 year-follow up, 1319 (1.7%) patients developed depression. In the multivariate Cox proportional hazard model, no association was found between depression and EPA drug use in the MPR ≥80% group (HR:0.89, 95%CI: 0.67 to 1.20) or MPR < 80% group (HR:1.00, 95%CI: 0.73 to 1.37) compared with the non-EPA group. No convincing evidence was found to support the association between EPA and risk of depression before and after adjusting for age, gender, and comorbidity.