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Newer generation antidepressant drugs (ADs) are widely used as the first line of treatment for major depressive disorders and are considered to be safer than tricyclic agents. In this critical review, we evaluated the literature on adverse events, tolerability and safety of selective serotonin reuptake inhibitors, serotonin noradrenaline reuptake inhibitors, bupropion, mirtazapine, trazodone, agomelatine, vilazodone, levomilnacipran and vortioxetine. Several side effects are transient and may disappear after a few weeks following treatment initiation, but potentially serious adverse events may persist or ensue later. They encompass gastrointestinal symptoms (nausea, diarrhea, gastric bleeding, dyspepsia), hepatotoxicity, weight gain and metabolic abnormalities, cardiovascular disturbances (heart rate, QT interval prolongation, hypertension, orthostatic hypotension), genitourinary symptoms (urinary retention, incontinence), sexual dysfunction, hyponatremia, osteoporosis and risk of fractures, bleeding, central nervous system disturbances (lowering of seizure threshold, extrapyramidal side effects, cognitive disturbances), sweating, sleep disturbances, affective disturbances (apathy, switches, paradoxical effects), ophthalmic manifestations (glaucoma, cataract) and hyperprolactinemia. At times, such adverse events may persist after drug discontinuation, yielding iatrogenic comorbidity. Other areas of concern involve suicidality, safety in overdose, discontinuation syndromes, risks during pregnancy and breast feeding, as well as risk of malignancies. Thus, the rational selection of ADs should consider the potential benefits and risks, likelihood of responsiveness to the treatment option and vulnerability to adverse events. The findings of this review should alert the physician to carefully review the appropriateness of AD prescription on an individual basis and to consider alternative treatments if available.