The effects of unemployment on depression are difficult to establish because of confounding and limited understanding of mechanisms at the population level. One the one hand, due to longitudinal interdependencies between exposures, mediators and outcomes, intermediate confounding is an obstacle for mediation analyses. On the other hand, unmeasured baseline confounding such as selection into unemployment and depression (e.g. due to behavioral problems) can bias even the most advanced statistical method for longitudinal analysis. Using longitudinal Finnish register data on socio-economic characteristics and medication purchases, we extracted individuals who entered the labor market between ages 30 and 55 in the period 1996 to 2013 (n = 285,512). To this data we apply the parametric G-formula to account for longitudinal interdependencies. We contrast two G-formula approaches; one additionally controlling for individual-level fixed effects to account for baseline confounding, and the other not. With the parametric G-formula we estimated the population-averaged effect on person-years spent with antidepressant purchases of a simulated intervention which set all unemployed person-years to employed. In the data, 85% of person-years were employed and 6.7% unemployed, the rest belonging to other status (e.g. early retirement, studying or conscription). In the intervention scenario of the non-fixed effects G-formula, employment rose to 93% and the hazard of first antidepressant purchase decreased by 4%. These effects were especially prominent for less educated men and women. These effects seemed to operate through changes in household formation. However, the G-formula controlling for individual-level fixed effects indicates that these results should be taken with a grain of salt: its estimate shows an effect estimate of close to 0%, indicating no effect of unemployment on antidepressant purchases. This gives an early indication that baseline confounding plays a strong role in the study of unemployment and depression.