Objectives Mental health problems and hazardous alcohol consumption often co-exist. Hazardous drinking could have a negative impact on different aspects of health and also negatively influence the effect of mental health treatment. The aims of this study were to examine if alcohol consumption patterns changed after treatment for depression and if the changes differed by treatment arm and patient sex. Methods This study of 540 participants was conducted in a large randomised controlled trial (RCT) that aimed to compare the effect of internet-based cognitive behavioural therapy, physical exercise and treatment as usual on 945 participants with mild-to-moderate depression. Treatment lasted for 12 weeks; alcohol consumption (Alcohol Use Disorder Identification Test (AUDIT)) and depression (Montgomery Åsberg Depression Rating Scale (MADRS)) were assessed at baseline and 12-month follow-up. Changes in alcohol consumption were examined in relation to depression severity, treatment arm and patient sex. Results The AUDIT distribution for the entire group remained unchanged after treatment for depression. Hazardous drinkers exhibit decreases in AUDIT scores, although they remained hazardous drinkers according to the cut-off scores. Hazardous drinkers experienced similar improvements in symptoms of depression compared with non-hazardous drinkers, and there was no significant relation between changes in AUDIT score and changes in depression. No differences between treatment arm and patient sex were found. Conclusion The alcohol consumption did not change, despite treatment effects on depression. Patients with depression should be screened for hazardous drinking habits and offered evidence-based treatment for hazardous alcohol use where this is indicated. Trial registration number DRKS00008745.