Background Depression happens commonly in cancer patients. However, there is limited literature on uterine cancer. In this study, we aimed to evaluate the association between uterine cancer and depression as well as the moderating effect of age and hormone replacement therapy (HRT). Methods This was a population‐based study using Taiwan's National Health Insurance Research Database. We conducted a matched cohort study and identified 6526 patients with uterine cancer and 65 260 controls. We adopted the competing risk analysis model as the statistical method and adjusted for potential confounding factors. Results From 1997 to 2008, 71 786 patients were included (6526 patients with uterine cancer and 65 260 controls). In the study, uterine cancer was not linked to depression. However, when we stratified the different age groups, those cancer patients aged <40 and 40 to 49 years showed significant higher risk of developing depression (subdistribution hazard ratio 1.64 and 1.41, respectively). In addition, among uterine cancer patients, 4602 patients had never used HRT and 1921 patients were prescribed HRT. The analysis of time‐dependent Cox model showed that, compared with no use of HRT, patients with cumulative doses ≥168 DDD had significant lower risk of depression (hazard ratio 0.49, 95% confidence interval = 0.26‐0.92). Conclusions An increased risk of depression among younger uterine cancer patients was observed. Our preliminary finding suggests a possible protective factor for developing depression after HRT usage.