There is concern regarding the impact of selective serotonin reuptake inhibitors (SSRIs) on suicidal behaviour. Using the target trial framework, we investigated the effect on suicidal behaviour of SSRI treatment following a depression diagnosis. We identified 162,267 individuals receiving a depression diagnosis aged 6–59 years during 2006–2018 in Stockholm County, Sweden, after at least 1 year without antidepressant dispensation. Individuals who initiated an SSRI within 28 days of the diagnosis were assigned as SSRI initiators, others as non-initiators. Intention-to-treat and per-protocol effects were estimated; for the latter, individuals were censored when they ceased adhering to their assigned treatment strategy. We applied inverse probability weighting (IPW) to account for baseline confounding in the intention-to-treat analysis, and additionally for treatment non-adherence and time-varying confounding in the per-protocol analysis. The suicidal behaviour risk difference (RD), and risk ratio (RR) between SSRI initiators and non-initiators were estimated at 12 weeks. In the overall cohort, we found an increased risk of suicidal behaviour among SSRI initiators (intention-to-treat RR = 1.50, 95% CI = 1.25, 1.80; per-protocol RR = 1.69, 95% CI = 1.20, 2.36). In age strata, we only found evidence of an increased risk among individuals under age 25, with the greatest risk among 6–17-year-olds (intention-to-treat RR = 2.90, 95% CI = 1.72, 4.91; per-protocol RR = 3.34, 95% CI = 1.59, 7.00). Our finding of an increased suicidal behaviour risk among individuals under age 25 reflects evidence from RCTs. We found no evidence of an effect in the high-risk group of individuals with past suicidal behaviour. Further studies with information on a wider array of confounders are called for.