Major depression is one of the most disabling health conditions internationally. In recent years, new generation antidepressant medicines have become very widely prescribed. While these medicines are efficacious, side effects are common and frequently result in discontinuation of treatment. Compared with specific pharmacological properties of the different medications, the relevance of individual vulnerability is understudied. We used data from the Australian Genetics of Depression Study to gain insights into the aetiology and genetic risk factors to antidepressant side effects. To this end, we employed structural equation modelling, polygenic risk scoring and regressions. Here we show that participants reporting a specific side effect for one antidepressant are more likely to report the same side effect for other antidepressants, suggesting the presence of shared individual or pharmacological factors. Polygenic risk scores (PRS) for depression associated with side effects that overlapped with depressive symptoms, including suicidality and anxiety. Body Mass Index PRS are strongly associated with weight gain from all medications. PRS for headaches are associated with headaches from sertraline. Insomnia PRS show some evidence of predicting insomnia from amitriptyline and escitalopram. Our results suggest a set of common factors underlying the risk for antidepressant side effects. These factors seem to be partly explained by genetic liability related to depression severity and the nature of the side effect. Future studies on the genetic aetiology of side effects will enable insights into their underlying mechanisms and the possibility of risk stratification and prophylaxis strategies. Antidepressants are commonly prescribed medications, but adverse side effects are cause for treatment discontinuation. We analysed data from a large group of adults who have taken antidepressants to understand why some people experience specific side effects. Our results suggest that a person’s genetic characteristics play a role. For example, participants genetically predisposed to a higher body mass index were more likely to report weight gain from antidepressants. These results open up the possibility of predicting adverse side effects as we increase our knowledge on the genetics of related complex traits. Future studies can focus on performing large-scale genetic studies of antidepressant side effects to gain further insights into the mechanisms underlying antidepressant side effects and to identify genetic markers of side effects that could be used in the clinic. Campos et al. study the genetic aetiology of antidepressant side effects. Using data from the Australian Genetics of Depression study, the authors show that polygenic risk scores for traits such as BMI, insomnia and headaches have a shared genetic basis with side effects to commonly used antidepressant drugs.