The effect of treating comorbid depression to achieve optimal management of chronic obstructive pulmonary disease (COPD) has not yet empirically tested. We examined the association between antidepressant treatment and use of and adherence to COPD maintenance medications among patients with new‐onset COPD and comorbid depression. Methods Using 2006‐2012 Medicare data, this retrospective cohort study identified patients with newly diagnosed COPD and new‐onset major depression. Two exposures—antidepressant use (versus non‐use) and adherence measured by proportion of days covered (PDC) (PDC ≥0.8 versus <0.8)—were assessed quarterly. We used marginal structural models to estimate the effects of prior antidepressant use and adherence on subsequent COPD maintenance inhaler use and adherence outcomes, accounting for time‐varying confounders. Results A total of 25 458 COPD‐depression patients, 82% with antidepressant treatment, were followed for a median of 2.5 years. Nearly half (48%) used at least 1 COPD maintenance inhaler in any given quarter; among users, 3 in 5 (61%) had a PDC of <0.8. Compared to patients with no antidepressant treatment, those with antidepressant use were more likely to use (relative ratio [RR] = 1.15, 95% confidence interval [CI] = 1.12‐ 1.17) and adhere to (RR = 1.08, 95% = 1.03‐1.14) their COPD maintenance inhalers. Patients who adhered to antidepressant treatment were more likely to use and adhere to COPD maintenance inhalers. Conclusion Regularly treated depression may increase use of and adherence to necessary maintenance medications for COPD. Antidepressant treatment may be a key determinant to improving medication‐taking behaviors among COPD patients comorbid with depression.