The study, which analysed data from 522 trials involving 116,477 people, found 21 common anti-depressants were all more effective at reducing symptoms of acute depression than dummy pills.
But it also showed big differences in how effective each drug is.
The authors of the report, published in the Lancet, said it showed many more people could benefit from the drugs.
There were 64.7 million prescriptions for the drugs in England in 2016 - more than double the 31 million in 2006 - but there has been a debate about how effective they are, with some trials suggesting they are no better than placebos.
The Royal College of Psychiatrists said the study "finally puts to bed the controversy on anti-depressants".
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