Long-term opioid therapy (LTOT) is associated with increased risk for depression. It is not known if the frequency of opioid use during LTOT is associated with new-onset depression. We used Optum's de-identified Integrated Claims-Clinical dataset (2010-2018) to create a cohort of 5146 patients, 18 to 80 years of age, with an encounter or claims in the year before new LTOT. New LTOT was defined by >90-day opioid use after remaining opioid free for 6 months. Opioid use frequency during the first 90 days of LTOT was categorized into occasional use (<50% days covered), intermittent use (50% to <80% days covered), frequent use (80% to <90% days covered), and daily use (≥90% days covered). Propensity scores and inverse probability of exposure weighting controlled for confounding in models estimating risk for new-onset depression. Patients were on average 54.5 (SD ± 13.6) years of age, 55.7% were female, 72.5% were White, and 9.5% were African American. After controlling for confounding, daily users (hazard ratio = 1.40; 95% confidence interval: 1.14-1.73) and frequent users (hazard ratio = 1.34; 95% confidence interval: 1.05-1.71) were significantly more likely to develop new-onset depression compared with occasional users. This association remained after accounting for the contribution of post-index pain diagnoses and opioid use disorder. In LTOT, risk for new depression episodes is up to 40% greater in near-daily users compared with occasional users. Patients could reduce depression risk by avoiding opioid use on as many low pain days as possible. Repeated screening for depression during LTOT is warranted.