This nationwide longitudinal study examined the screening utility of the Patient Health Questionnaire-9 (PHQ-9) for Korean workers (aged 20, 30, 40, 50, 60, and 70 years) who completed the questionnaire in 2018. Data on disease names and health-related behaviors were collected from the National Health Insurance Service (NHIS). Follow-up began on 1 January 2018, and the primary endpoint was the hospitalization date for depression, self-harm, or suicide or 31 December 2019. Of the 766,351 participants, 741,423 received depression screening. Those screened were classified into normal (n = 716,760) and high-risk groups (n = 24,663) based on PHQ-9 scores. The incidence of hospital admissions for depression, self-harm, or suicide in the non-screened, normal, and high-risk groups was analyzed, and the PHQ-9's validity was examined. There were more females in the high-risk group than in the normal group, and the income distribution differed. The two-year cumulative incidence was highest for the high-risk group (4.21%), followed by the normal (0.89%) and non-screened groups (0.80%). The PHQ-9's sensitivity was low (males: 14.2%; females: 13.8%). Its specificity for males and females was 97.1% and 96.3%, respectively. Our findings may help develop a system to prevent suicides and hospitalizations attributed to workplace depression.