OBJECTIVES Agomelatine is the first melatonergic antidepressant approved by the European Medicine Agency for the treatment of major depressive disorder (MDD) in adults. The objective of our study was to perform a cost-effectiveness analysis for agomelatine based on clinical trials against placebo and venlafaxine from a Swedish societal perspective. METHODS We developed a Markov model with health states for well, depressive episode, remission and death. The model also incorporated sleep disorders, discontinuation rates, discontinuation symptoms and adverse drug reactions (incl. constipation, diarrhoea, dyspepsia, headache, nausea, somnolence and sexual dysfunction). The time horizon was set to two years. Relapse and discontinuation rates were estimated using Weibull regressions, while remission rates were estimated directly. Costs and utilities for different health states were taken from a Swedish observational study. Frequencies of adverse events, sleep disorders and discontinuation symptoms were taken from three relevant trials, while costs and disutilities were estimated from the literature. Costs (reported in EUR 2008) and effects were discounted at 3% per year. RESULTS In the base case, agomelatine is cost-saving and more effective than venlafaxine and placebo. One-way sensitivity analyses showed that the results were robust to most parameter changes. At a willingness-to-pay threshold of €50,000 per quality-adjusted life year gained, agomelatine was cost-effective compared to venlafaxine in 96% of the cases in the probabilistic sensitivity analysis. CONCLUSIONS Based on data from clinical trials and the literature, our results indicate that agomelatine is cost-saving and more effective than venlafaxine in treating MDD in Sweden. These results are robust, confirmed by sensitivity analysis.