Background It is unknown if nonpharmacologic interventions are protective of adverse outcomes in depression patients. We studied whether depression screenings/psychotherapy visits were associated with lower: (a) medical complications, (b) readmission rates, (c) implant-related complications, and (d) healthcare expenditures. Methods A nationwide claims database was queried for primary shoulder arthroplasty from 2010 to 2020. Depression patients included those who had (n = 3566) and did not have (n = 17,769) a pre-operative depression screen/psychotherapy visit within 3 months of shoulder arthroplasty. A 90-day period was utilized for complications and readmissions. Implant complications were assessed over 2 years. Costs were surgeon reimbursements. Logistic regression models computed odds ratios (OR) of complications and readmissions. P-values less than 0.005 were significant. Results Depression patients who did not undergo screening had threefold higher odds of 90-day medical complications (28.08 vs. 7.26%; OR: 3.33, p < 0.0001). Readmissions (3.97 vs. 3.48%; p = 0.719) were similar between non-screened vs. screened patients. Implant complications were higher among non-screened vs. screened patients (15.89 vs. 8.02%; OR: 1.93, p < 0.0001), including prosthetic joint infections (2.05 vs. 0.93%; OR: 2.04, p < 0.0001). Costs were significantly higher in patients without screening ($10,916 vs $8703; p < 0.0001). Discussion Shoulder arthroplasty surgeons may consider counseling their depression patients about the importance of having a recent screening by their physician. Level of Evidence: III