It has been hypothesised that the perception of adverse events in placebo-controlled antidepressant clinical trials may induce patients to conclude that they have been randomized to the active arm of the trial, leading to the breaking of blind. This may enhance the expectancies for improvement and the therapeutic response. The main objective of this study is to test the hypothesis that the efficacy of antidepressants in panic disorder is mediated by the perception of adverse events. The present analysis is based on a systematic review of published and unpublished randomised trials comparing antidepressants with placebo for panic disorder. The Baron and Kenny approach was applied to investigate the mediational role of adverse events in the relationship between antidepressants treatment and efficacy. Fourteen placebo-controlled antidepressants trials were included in the analysis. We found that: (a) antidepressants treatment was significantly associated with better treatment response (ß = 0.127, 95% CI 0.04 to 0.21, p = 0.003); (b) antidepressants treatment was not associated with adverse events (ß = 0.094, 95% CI -0.05 to 0.24, p = 0.221); (c) adverse events were negatively associated with treatment response (ß = 0.035, 95% CI -0.06 to -0.05, p = 0.022). Finally, after adjustment for adverse events, the relationship between antidepressants treatment and treatment response remained statistically significant (ß = 0.122, 95% CI 0.01 to 0.23, p = 0.039). These findings do not support the hypothesis that the perception of adverse events in placebo-controlled antidepressant clinical trials may lead to the breaking of blind and to an artificial inflation of the efficacy measures. Based on these results, we argue that the moderate therapeutic effect of antidepressants in individuals with panic disorder is not an artefact, therefore reflecting a genuine effect that doctors can expect to replicate under real-world conditions.