Background Early adherence is key to successful depression treatment, but nearly 60% of patients discontinue antidepressants within 3 months. Our study aimed to determine factors associated with poor early adherence to antidepressants in a large diverse sample of patients. Methods Six Mental Health Research Network healthcare systems contributed data for adults with depression and a new antidepressant start, defined by a washout period of at least 270 days, between January 1, 2010 and December 31, 2012. Pharmacy fill and self‐reported race/ethnicity data were obtained from the electronic medical record. Patients had early adherence if they had a second antidepressant fill within 180 days of the first. We used logistic regression to investigate the relationship between early adherence and patient characteristics. Results A total of 177,469 adult patients had 184,967 new episodes of depression with a filled antidepressant prescription. Patients refilled their antidepressants within 180 days in 71% of episodes. Race/ethnicity was a strong predictor of early adherence, with patients from racial/ethnic minorities other than Native Americans/Alaskan Natives less likely (adjusted odd ratios 0.50–0.59) to refill their antidepressants than non‐Hispanic whites. Age, neighborhood education, comorbidity burden, provider type and engagement in psychotherapy were also associated with adherence. Other apparent predictors of early adherence, including neighborhood income, gender, and prior mental health hospitalizations, were no longer significant in the fully adjusted model. Conclusions Race/ethnicity was a robust predictor of early antidepressant adherence, with minority groups other than Native Americans/Alaskan Natives less likely to be adherent. Further research is needed to determine whether early nonadherence in specific minority populations is intentional, due to side effects or patient preference, or unintentional and appropriate for targeted interventions to improve adherence.