The US study was based on 136,293 women aged 50 to 79, who were followed for an average of six years.
Anti-depressant users were 45% more likely to have a stroke than women not taking the drugs.
The data, published in Archives of Internal Medicine, is taken from the Women’s Health Initiative Study.
When overall death rates were examined, those on anti-depressants were found to have a 32% higher risk of death from all causes during the study than non-users.
The researchers stressed that the overall risk of a stroke was relatively small. Even for women on anti-depressants, it was less than one in 200 chance in any given year.
However, they said that because so many women were taking anti-depressants the effect would be significant across the entire population.
It is not clear whether taking anti-depressants is solely responsible for the increased risk of a stroke.
Depression itself is known to be a risk factor for cardiovascular problems.
The researchers tried to take this into account in their analysis of the data – but could not rule out the possibility that it influenced the final results.
The study found no difference in stroke risk between the two major classes of anti-depressants, selective serotonin reuptake inhibitors (SSRIs) or tricyclic anti-depressants (TCAs).
However, the SSRIs did appear to convey a higher risk of hemorrhagic stroke caused by a bleed in the brain.
Lead researcher Dr Sylvia Wassertheil-Smoller, of Albert Einstein College of Medicine, stressed that treatment for depression was important, and that women should not stop taking prescribed medication without first consulting their doctor.
She said: “You have to weigh the benefits that you get from these antidepressants against the small increase in risk that we found in this study.”
Known links
The researchers said follow-up studies were needed before any firm conclusions could be drawn.
Dr Jordan Smoller, of Harvard Medical School, who also worked on the study, said: “We need to study this association more to determine exactly what it signifies.”
Joanne Murphy, for The Stroke Association stressed the study showed that overall risk for women taking anti-depressants was relatively small.
She said “We are already aware of links between depression and the risk of stroke and we are currently funding further studies to look into this.
“Everyone can help reduce their risk of stroke by making lifestyle changes, such as reducing their blood pressure, giving up smoking, reducing alcohol intake, improving their diet and getting plenty of exercise.”
Ellen Mason, of the British Heart Foundation, said: “Severe depression can be debilitating and even fatal, so it is important to weigh up any small increase in the risk of stroke with the benefits of treating depression.”
Bridget O’Connell, from the mental health charity Mind, said antidepressants produced a range of side effects that affected people in different ways.
She said: “Many people can experience huge benefits from taking antidepressants and it’s important they work with their GP to identify both the plus points and the drawbacks, and weigh up what treatment is best for them.”