Antidepressants have been associated with weight gain, but the causes are unclear. The aims of this study were to assess the association of antidepressant use with energy intake, macronutrient diet composition, and physical activity. We used data on medication use, energy intake, diet composition, and physical activity for 3073 eligible adults from the 2005–2006 National Health and Nutrition Examination Survey (NHANES). Potential confounding variables, including depression symptoms, were included in the models assessing energy intake, physical activity, and sedentary behavior. Antidepressant users reported consuming an additional (mean ± S.E.) 215 ± 73 kcal/day compared to non-users (p = 0.01). There were no differences in percent calories from sugar, fat, or alcohol between the two groups. Antidepressant users had similar frequencies of walking or biking, engaging in muscle-strengthening activities, and engaging in moderate or vigorous physical activity. Antidepressant users were more likely to use a computer for ≥2 h/day (OR 1.77; 95% CI: 1.09–2.90), but TV watching was similar between the two groups. These results suggest increased energy intake and sedentary behavior may contribute to weight gain associated with antidepressant use. Focusing on limiting food intake and sedentary behaviors may be important in mitigating the weight gain associated with antidepressant use.