Selective serotonin reuptake inhibitor (SSRI), serotonin‐norepinephrine reuptake inhibitor (SNRI), and norepinephrine–dopamine reuptake inhibitor (NRI) antidepressants can cause hyponatremia through syndrome of inappropriate antidiuretic hormone secretion (SIADH). This study assesses the differential risks of hyponatremia associated with commonly prescribed SSRIs (fluoxetine, paroxetine, sertraline, citalopram, escitalopram), SNRIs (duloxetine, venlafaxine) and NRI (bupropion), as well as omeprazole as a reference, with a retrospective observational cohort study in the All of Us Research Program, a national multicenter research cohort containing de‐identified electronic health records (EHR). Participants who had been prescribed monotherapy with any of eight common antidepressants were included, with each drug considered as a separate arm indexed with a start date. Events were defined as the first occurrence of a low plasma sodium measurement or a clinical diagnosis recorded for either hyponatremia or SIADH. Those who did not have events were censored at their last plasma sodium measurement. A total of 17,439 individuals were exposed to one of the eight antidepressants as monotherapy. The overall incidences for hyponatremia were 0.87% in the first 30 days and 10.5% in the first 3 years in the antidepressant arms. Compared to sertraline, duloxetine (hazard ratio [HR] = 1.37 [1.19–1.58]) and escitalopram (HR = 1.16 [1.01–1.33]) were associated with the highest overall risk of hyponatremia, and bupropion (HR = 0.83 [0.73–0.94]) and paroxetine (HR = 0.78 [0.65–0.93]) were associated with the lowest risk. The risks were unchanged after adjusting for comorbidity and polypharmacy. Such information could help guide providers in managing patients and their risks of hyponatremia when on common antidepressants.