Antidepressant selection is largely a trial-and-error process. We used electronic health record (EHR) data and artificial intelligence (AI) to predict response to four antidepressants classes (SSRI, SNRI, bupropion, and mirtazapine) 4 to 12 weeks after antidepressant initiation. The final data set comprised 17,556 patients. Predictors were derived from both structured and unstructured EHR data and models accounted for features predictive of treatment selection to minimize confounding by indication. Outcome labels were derived through expert chart review and AI-automated imputation. Regularized generalized linear model (GLM), random forest, gradient boosting machine (GBM), and deep neural network (DNN) models were trained and their performance compared. Predictor importance scores were derived using SHapley Additive exPlanations (SHAP). All models demonstrated similarly good prediction performance (AUROCs ≥ 0.70, AUPRCs ≥ 0.68). The models can estimate differential treatment response probabilities both between patients and between antidepressant classes for the same patient. In addition, patient-specific factors driving response probabilities for each antidepressant class can be generated. We show that antidepressant response can be accurately predicted from real-world EHR data with AI modeling, and our approach could inform further development of clinical decision support systems for more effective treatment selection.