Objective This study aimed to compare the effects of different antidepressant therapies on emotional improvement in patients with Parkinson’s disease (PD) complicated with depression, and to explore effective strategies in PD treatment. Methods A total of 328 patients with idiopathic PD admitted to the Affiliated Hospital of Guizhou Medical University and Second People’s Hospital of Guiyang were consecutively selected. The 17-item Hamilton Depression Scale (HAMD-17) was used to screen whether patients with PD exhibited depressive symptoms. The treatment group included 131 eligible patients, but 118 completed the study. The patients were randomized to conventional treatment, conventional treatment + escitalopram, conventional treatment + pramipexole, and conventional treatment + transcranial magnetic stimulation (TMS) groups. The effects of antidepressant therapies were assessed using the HAMD score reduction rate after 2 and 4 weeks of treatment. Results The prevalence of PD complicated with depression was 53.4%, and was significantly higher in females than in males. The response rate in the conventional treatment, escitalopram, pramipexole, and TMS groups was 34.48%, 93.10%, 87.09%, and 75.86%, respectively. This indicated that the escitalopram group had the best efficacy. After 2 and 4 weeks of treatment, the HAMD scores of each group were significantly lower than those before treatment. The reduction in HAMD scores was the most significant in the pramipexole group after 2 weeks of treatment and in the escitalopram group after 4 weeks of treatment. Conclusion Escitalopram, pramipexole, and high-frequency TMS had better efficacy in patients with PD complicated with depression, with escitalopram being the most effective.