Background: The gut microbiota of children delivered by cesarean section differs from that of children delivered vaginally. In light of the gut-brain axis hypothesis, cesarean section may influence risk of affective disorders. Methods: Population based prospective cohort study included Danish children born 1982 through 2001, with follow-up until 2015. The effect of delivery mode on the risk of affective disorders was assessed using a standard Cox model and two types of Cox sibling models. Diagnostic codes or prescriptions for antidepressants and lithium were used to define cases of affective disorders. Results: 1,009,444 children were followed for 8,880,794 person-years from the age of 13 years, with relevant covariates available from birth. There are strong calendar time trends in the occurrence of affective disorders with an increasingly younger age at first diagnosis and with a hotspot between the years 2007–2012. Fully adjusted standard Cox models showed an increased risk of affective disorders for both pre-labor (hazard ratio [HR], 1.11; 95% confidence interval [CI], 1.08–1.15) and intrapartum (HR, 1.07; 95% CI, 1.05–1.10) cesarean section, compared to vaginal delivery. This effect disappeared in the between–within sibling model for pre-labor (HR, 1.00; 95% CI, 0.94–1.07) but not intrapartum (HR, 1.05; 95% CI, 1.00–1.12) cesarean section. Limitations: Interpretation of results from sibling models may not be relevant to children without siblings. Conclusions: These results do not support the hypothesis that a delivery-mode dependent change in gut microbiota is a cause of subsequent affective disorders, despite an apparent association with delivery mode.