What is Venlafaxine? Venlafaxine, formerly sold as Effexor, is a prescription drug used to treat depression, anxiety, social phobia, and panic disorder. Venlafaxine belongs to the class of antidepressants called serotonin-norepinephrine reuptake inhibitors (SNRIs). SNRIs work by increasing the brain’s levels of serotonin and norepinephrine, neurotransmitters that act together to brighten mood and relieve pain.