Naturalistic studies show that the average length of antidepressant treatment is less than 6 months and that discontinuations are high, especially in primary care depressed patients. Factors leading to treatment discontinuation are multiple and poorly understood. Discontinuations are most frequent during the first month of therapy, and the prevalent reasons vary during the course of therapy. Approximately 25% of patients do not inform their physician about stopping their antidepressant medication. Recent research provides new information that may serve as a guideline for improving compliance. The physician-patient relationship, including the amount of time the physician takes to explain the expected duration of treatment and possible adverse effects, is a key factor. The physician's attitude about the medication is also important. Strategies should be adapted to the stage of treatment, as common reasons for discontinuation change as treatment progresses.