Objective: Pharmacological treatment strategies for insomnia seem to vary, and there is lack of knowledge about how sedative drugs are used in a real-world setting. We investigated changes in sedative drug prescription patterns in Danish adults who initiated treatment between 2002 and 2016. Methods: All adults with a first-time purchase of a sedative drug registered in the Danish National Prescription Register from 2002 through 2016 were followed for five years between 2002 and 2021 for subsequent prescriptions of sedative drugs, death, or emigration. Sedative drugs were classified into anxiolytic benzodiazepines (N05BA), hypnotic benzodiazepines (N05CD), Z-drugs (N05CF), melatonin (N05CH01), promethazine (R06AD), and low-dose quetiapine (N05AH04). Analyses were stratified on time: 2002–2006, 2007–2011, and 2012–2016. Results: A total of 842,880 individuals purchased their first sedative drug between 2002 and 2016. Most of them (40.0%) initiated treatment between 2002 and 2006, whereas 29.2% initiated treatment in 2012–2016. In 2002–2006, anxiolytic benzodiazepines (46.4%), Z-drugs (42.8%), and hypnotic benzodiazepines (5.4%) were the most common first treatment. This pattern changed over time with a gradual increase in the use of melatonin, promethazine, and low-dose quetiapine, which in 2011–2016 accounted for 27% of all first treatments. During the five years from first prescription, around 27% shifted to a different sedative drug. This percentage increased slightly over time, but over time the first shift to another drug class was most often to a Z-drug or anxiolytic benzodiazepine. Few individuals (5.8%) had more than one shift and the third choice seemed randomly distributed across all other drug classes. Conclusion: Sedative drug prescriptions are distributed on different drug classes, with Z-drugs and anxiolytic benzodiazepines as the most frequent first treatment, and second choice in case of shift.