Over 3.8m antidepressant prescriptions were dispensed in Wales in 2011, the highest rate per head of any UK nation.
Mental health charities said more people should be offered counselling, but a doctor's spokesman said lengthy waiting times gave them little choice.
Ministers say mental health provision would be boosted by Â£3.5m.
The number of antidepressant prescriptions per head in Wales rose last year by nearly 8% - a similar increase to that seen in England and Scotland.
Wales has the highest rate of antidepressant prescriptions of any UK nation at 1.24 per head, compared to 1.18 in Northern Ireland, 0.89 in Scotland and 0.88 in England.
The figures were obtained by BBC Wales in a Freedom of Information request to the Welsh government.
Drugs such as Citalopram, Fluoxetine (often known as Prozac) and Lofeprine, amongst others, cost the Welsh NHS over Â£16 million in 2011.
Advice from the National Institute for Health and Clinical Excellence (NICE) recommends the use of talking therapies such as Cognitive Behaviour Therapy (CBT) to treat mild to moderate depression and anxiety disorders.
Their guidelines state that antidepressants should "not routinely be offered" for people with persistent mild or moderate depression or anxiety and that talking therapies should be considered instead.
David Bailey, chair of the British Medical Association's general practitioners committee in Wales, said doctors tried where possible to avoid prescribing drugs for depression but sometimes had little choice.
"Within a 10 minute consultation there's only so much talking therapy, cognitive behavioural therapy you can actually do," he said.
"So what we would like is to have relatively quick access to a professional who can do that much more focussed treatment for a patient.
"At the moment there's a huge issue with the time before which people can get these sorts of therapies."
The Welsh mental health charity Gofal said patients found family doctors lacking time and resources to prescribe appropriate treatment.
"In our experience GPs can often only offer a five to 10 minute chat followed by a prescription for antidepressants," said a spokesperson.
"In some areas, alternative therapies such as CBT and counselling can be and are being prescribed, but patients are still faced with very lengthy waiting times, during which their mental health often deteriorates to a state of crisis."
The Welsh government said there were clear guidelines on the prescribing of antidepressants, and that it was boosting the provision of counselling services.
"We are investing Â£3.5 million from October 2012 to develop primary care mental health services across Wales," said a spokesperson.
"One aspect of this provision will be to increase evidence-based interventions such as psychological therapies to people with mild to moderate mental health problems."
The Welsh government added that it had commissioned a review of access to psychological therapy services which would report back in the winter.
Information obtained by BBC Wales under the Freedom of Information Act show a mixed pattern in referrals for therapy, which had dropped in some regions.
Cardiff and Vale University Health Board said referrals had increased in 2011, while the Abertawe Bro Morgannwg, Cwm Taf and Aneurin Bevan boards said they had fallen.
Hywel Dda Health Board in mid and west Wales said the waiting time for cognitive behavioural psychotherapy was currently around 10 months, while other forms of therapy had shorter waiting times.
Doctors in Wales are prescribing an increasing number of antidepressants as patients face waiting up to 10 months for some forms of therapy.