Hormonal contraceptives are one of the most-used therapeutic groups today. However, there is controversy surrounding the adverse effects attributed to their use. One of the most alarming possible adverse effects is depression. Studies have been published in recent years that assess whether this relationship can be confirmed and attributed to the use of hormonal contraceptives. This report aims to review the latest published studies and provide a bibliographic review of how sexual hormones interact with neurotransmitters, which may be linked to the appearance of depression. A study is also carried out on prescription trends for hormonal contraceptives in Catalonia for the last five years.