Purpose: Depressive disorders are common and have a considerable impact on patients and societies. Several treatments are available, but their effects are modest and reduce the burden only to a limited extent. Preventing the onset of depressive disorders may be one option to further reduce the global disease burden. Methods: We conducted a meta-analysis of randomized controlled trials in participants without a diagnosis of depression at baseline, who were assigned to a preventive psychological intervention, or a care-as-usual, or comparable control group and in which incident cases of depression at follow-up were ascertained with a diagnostic interview. Results: Our systematic searches resulted in 50 trials (14,665 participants) with relatively high quality, in high risk groups of all ages. The psychological interventions were mostly based on cognitive behavioral interventions. One year after the preventive interventions, the relative risk of developing a depressive disorder was RR = 0.81 (95% CI: 0.72–0.91), indicating that those who had received the intervention had 19% less chance to develop a depressive disorder. Given the average control event rate of 30%, twenty-one people had to participate in the intervention to prevent one depressive disorder compared to people in the control conditions. Conclusions: Prevention is a promising approach to reduce the global disease burden of depression in addition to treatments.