Depression is the most common psychiatric illness and cause of disability, and associated with durable impacts on productivity and represents one of the major causes of workplace absenteeism and presenteeism. Few studies, however, examine the economic impact of treatment of depression in the workplace, particularly from the perspective of the employer. We estimated the relative cost-effectiveness of treatment for employees with depression in the workplace. We used a decision-analytic model to estimate the relative cost-effectiveness of (i) psychotherapy, (ii) pharmacotherapy and (iii) combination of psychotherapy and pharmacotherapy and whether they reduce sickness, absenteeism and presenteeism for people with depression. Costs and savings to the employer were also estimated, and policy recommendations made about how best to translate this evidence into practice. Both pharmacotherapy treatment and psychotherapy treatment were found to be cost-saving from the perspective of the employer. Psychotherapy was found to be the most cost-effective option with an incremental cost-effectiveness ratio of €22,225. This study provides evidence that screening and treatment for depression in the workplace is cost-effective and represents a worthwhile investment from the business perspective.