Before the 1980s, no randomized controlled trials had been carried out to test whether major depressive episodes could be prevented. In the past 30 years, several trials have reported success in reducing the incidence (the number of new cases) of major depressive episodes. These studies suggest that major depression can be prevented. Given the large burden of disease caused by major depression, it is time for substantial systematic efforts to replicate these studies, carry out multisite trials, and widely disseminate prevention interventions found to be effective. The present review examines the conceptual and practical differences between treatment and prevention trials and the importance of identifying groups at high short-term risk for major depressive episodes to make prevention trials feasible. We also list the randomized controlled prevention trials that have been carried out to date and discuss the need for prevention interventions that go beyond the limits of traditional face-to-face interventions.