Ozempic does not list anxiety, depression, or suicidal thoughts on its label, yet Wegovy’s label does. The active ingredient in both Ozempic and Wegovy is semaglutide, which is a glucagon-like peptide-1 (GLP-1) receptor agonist. AACE President Sethu K. Reddy, MD, MBA, FRCPC, FACP, MACE, explains how semaglutide can affect your mental health, in an article featured on healthline.com.