Depression is considered to be one of the most prevalent mental disorders in humans. Antidepressant drugs are released in large concentrations and cause adverse effects on the environment and/or human health. Fabric Phase Sorptive Extraction (FPSE), a contemporary solid sorbent-handling technique, is a quick, sensitive, and simple analytical process. This paper describes a micro-extraction FPSE procedure coupled with High-Performance Liquid-Chromatography–Photodiode Array Detection (FPSE-HPLC–DAD) for the simultaneous extraction and analysis of five antidepressants, namely citalopram, clozapine, mirtazapine, bupropion and sertraline. Three fabric media (Whatman Cellulose filter, Whatman Microfiber Glass filter and Polylactic acid disks) and two different sol–gel sorbents (polyethylene glycol (PEG 300), alongside poly(ethylene glycol)-block-poly(propylene glycol)-block-poly(ethylene glycol) (PEG-PPG-PEG 5.800)) were tested. The best FPSE device was observed to be the microfiber glass filter coated with PEG 300 sol–gel sorbent. In addition, the parameters that affect the efficiency of the process (FPSE media and sorbents, sample pH, extraction time, elution time, etc.) were optimized. The proposed methodology displays a linear range with absolute recovery values higher than 60%, RSD% of less than 13% and LOQs in the range between 1.9–10.7 μg·L−1. Finally, the method was applied in hospital and urban effluents and lake water samples, but none of the analytes were detected.