In short-term efficacy studies, coprescription of a benzodiazepine improves first-month adherence and response to antidepressant treatment. We used Veterans Health Administration data to examine the impact of coprescribed benzodiazepines on initial antidepressant adherence in routine clinical practice and the risks of long-term benzodiazepine use, abuse, and dependence. Our study population was 43,915 Veterans Health Administration patients diagnosed with depression and started on an antidepressant between October 2006 and September 2007. Using logistic regression, adjusting for demographic and clinical covariates, we predicted the likelihood that patients received antidepressant treatment for an adequate duration (90 days), with our primary independent variable of interest being receipt of a benzodiazepine on the same day as the start of the antidepressant. We also assessed the frequency and characteristics of patients whose benzodiazepine use persisted for 1 year or who were diagnosed with anxiolytic abuse or dependence after receiving combined treatment. The adjusted probability of receiving antidepressant treatment of adequate duration was 42.4% for patients who received a benzodiazepine with their initial antidepressant compared with 39.3% for patients initially treated with an antidepressant alone (P < 0.001). Among patients who received combined treatment, 14.1% subsequently used benzodiazepines for at least 1 year, and 0.7% were diagnosed with anxiolytic abuse or dependence. Anxiolytic abuse or dependence, but not long-term benzodiazepine use, was associated with other substance use disorders. These findings should be considered by clinicians when assessing the individual risks and benefits of combining a benzodiazepine with antidepressant treatment.