Major depressive disorder (MDD), a prevalent and serious mental illness, is associated with a substantial disease and economic burden. Long-term pharmacotherapy is often necessary; selective serotonin reuptake inhibitors (SSRIs) or the serotonin-noradrenaline reuptake inhibitor venlafaxine are the most frequently prescribed medications in patients with moderate-to-severe depressive symptoms. This article reviews head-to-head clinical studies and health economic models comparing the efficacy, tolerability and cost-effectiveness of escitalopram, a dual-action selective inhibitor of serotonin reuptake, and the extended-release (XR) formulation of venlafaxine. While there has been some evidence that conventional SSRIs are inferior to venlafaxine in terms of efficacy, escitalopram was at least as effective as venlafaxine XR in reducing Montgomery-Asberg Depression Rating Scale scores from baseline in two short-term (8-week) comparative studies. Furthermore, escitalopram had potentially important advantages over venlafaxine XR in terms of time to remission, tolerability and discontinuation (withdrawal) symptoms. The results of economic evaluations, including a 'gold standard' prospective study conducted alongside one of the studies are consistent in suggesting that escitalopram offers a more cost-effective alternative to venlafaxine XR for the treatment of MDD, both from a healthcare and societal perspective. Based on this evidence, it is concluded that escitalopram is at least as effective as venlafaxine XR in the treatment of MDD, but is better tolerated and may also have cost advantages.