According to The Sydney Morning Herald:
A Danish study of a million women has found a link between the use of hormonal contraception such as the the pill and increased risk of depression.
Compared with non-users, women and teenage girls aged 15 to 34 who used hormonal contraception had a 1.23 times higher risk of being diagnosed with depression, especially adolescents, according to a paper published in the journal JAMA Psychiatry.