Introduction: The current process for generating evidence in pharmacovigilance has several limitations, which often lead to delays in the evaluation of drug-associated risks. Objectives: In this study, we proposed and tested a near real-time epidemiological surveillance system using sequential, cumulative analyses focusing on the detection and preliminary risk quantification of potential safety signals following initiation of selective serotonin reuptake inhibitors (SSRIs) and serotonin-norepinephrine reuptake inhibitors (SNRIs). Methods: We emulated an active surveillance system in an historical setting by conducting repeated annual cohort studies using nationwide Danish healthcare data (1996–2016). Outcomes were selected from the European Medicines Agency's Designated Medical Event list, summaries of product characteristics, and the literature. We followed patients for a maximum of 6 months from treatment initiation to the event of interest or censoring. We performed Cox regression analyses adjusted for standard sets of covariates. Potential safety signals were visualized using heat maps and cumulative hazard ratio (HR) plots over time. Results: In the total study population, 969,667 new users were included and followed for 461,506 person-years. We detected potential safety signals with incidence rates as low as 0.9 per 10,000 person-years. Having eight different exposure drugs and 51 medical events, we identified 31 unique combinations of potential safety signals with a positive association to the event of interest in the exposed group. We proposed that these signals were designated for further evaluation once they appeared in a prospective setting. In total, 21 (67.7%) of these were not present in the current summaries of product characteristics. Conclusion: The study demonstrated the feasibility of performing epidemiological surveillance using sequential, cumulative analyses. Larger populations are needed to evaluate rare events and infrequently used antidepressants.