Psoriasis is associated with an increased risk of depression, but results are inconsistent. This study examined the risk of new-onset depression in patients with psoriasis in a nationwide Danish cohort including some 5 million people in the period 2001-2011. A total of 35,001 patients with mild psoriasis and 7,510 with severe psoriasis were identified. Incidence rates per 1,000 person-years and incidence rate ratios (IRRs) were calculated. Incidence rates for depression were 20.0 (95% confidence interval 19.9-20.0), 23.9 (23.1-24.7) and 31.6 (29.5-33.8) for the reference population, mild, and severe psoriasis, respectively. Adjusted for age, sex, and inclusion year, IRRs were 1.08 (1.04-1.12) in mild and 1.36 (1.27-1.46) in severe psoriasis. After adjustment for comorbidity, the IRR was significant in only patients < 50 years with severe psoriasis (IRR 1.23 (1.03-1.46)). In conclusion, the risk of new-onset depression in psoriasis is mediated primarily by comorbidities, except in younger individuals with severe psoriasis, in whom psoriasis itself may be a risk factor.