The study tracked the use of anti-depressants in 3,500 Finnish people.
A mental health charity said people who lived alone must be given outlets to talk about their problems.
The study authors highlight the fact that the proportion of one-person households in Western countries has increased during the past three decades, with one in every three people in the US and the UK living alone.
The participants in the study, published in BioMed Central's public health journal, were working-age Finns; 1,695 were men and 1,776 were women, and they had an average age of 44.6 years.
Beth Murphy MindLoneliness and isolation results in people having fewer outlets to talk about how they are feeling, which is something that we know can really help.”
Researchers found that people living alone bought 80% more anti-depressants during the follow-up period, between 2000 and 2008, than those who did not live alone.
Dr Laura Pulkki-Raback, who led the research at the Finnish Institute of Occupational Health, said the real risk of mental health problems in people living alone could be much higher.
"This kind of study usually underestimates risk because the people who are at the most risk tend to be the people who are least likely to complete the follow up. We were also not able to judge how common untreated depression was."
Isolation Researchers said that living with other people could offer emotional support and feelings of social integration, as well as other factors that protect against mental health problems.
Living alone, the study said, could be linked with feelings of isolation and a lack of social integration and trust, which are risk factors for mental health.
The study said all the factors involved needed to be addressed in order to understand and reduce depression in working-age people.
Beth Murphy, head of information at mental health charity Mind, said the rise in the number of people living alone had had a clear impact on the nation's mental health.
"Loneliness and isolation results in people having fewer outlets to talk about how they are feeling, which is something that we know can really help to manage and recover from a mental health problem.
"It is therefore essential that people who live alone are given the most appropriate treatment such as talking therapies, which provide safe, supportive environments to discuss and work through problems, rather than simply being left to rely solely on antidepressants."