Background Women are twice as likely to experience depression and use antidepressants as men. Personal agency protects against depression; however, social factors contribute to lower levels of agency in women. Aims This study examines women's experiences of using antidepressant treatment along with the other activities and practices they engage in to support their recovery from depression. It aims to understand how these experiences promote or diminish women's sense of agency in regard to their recovery. Method Fifty women took part in telephone interviews focusing on experiences of antidepressants as well as personal efforts to recover. A thematic analysis examined the agency‐promoting and agency‐diminishing experiences of using antidepressant treatment and engaging in other activities. Results Antidepressants promoted agency when they gave women relief from depressive symptoms, allowing women to become more proactive in recovery. Women engaged in a range of activities they believed assisted recovery and hence enhanced agency. These included exercise, gaining social support, and engaging in therapy. Some, however, had shifted to long‐term antidepressant use. Failed attempts to discontinue due to severe withdrawal symptoms, fear of a relapse, and the biochemical model of depression created a sense of dependence on antidepressants and thereby diminished personal agency in relation to recovery. Conclusions Antidepressants can support women to become agential in their recovery. However, long‐term use signifies greater dependency on antidepressants, and personal agency is seen as insufficient. The fear of withdrawal symptoms and the biochemical model undermine women's sense of personal agency in relation to recovery.