Major depression is one of the most prevalent mental disorders and the number one cause of disability worldwide. Once a person experiences a major depressive episode (MDE), the likelihood of recurrence is very high. The prevention of first onset, as well as the protection against recurrence after recovery, are therefore essential goals for the mental health field. By the end of the 20th century, however, most depression research efforts had focused on either acute or prophylactic treatment. In this article, we review USA and international studies that have attempted to reduce incidence of MDE, either 1) to prevent onset in populations of children and adults (including women during the postpartum period) not currently meeting diagnostic criteria for depression, or 2) to prevent a new episode in individuals who have recovered after treatment through protective, but not prophylactic interventions. We identified twelve randomized controlled trials focused on preventing the onset of major depression (both MDE and postpartum depression (PPD)), five randomized controlled trials focusing on preventing relapse, and no randomized controlled trials focused exclusively on preventing recurrent episodes through protective interventions. The review is limited in scope given that depression prevention trials focused on infants, young children, and older adults were not included in the review. The research to date suggests that the prevention of major depression is a feasible goal for the 21st century. If depression prevention interventions become a standard part of mental health services, unnecessary suffering due to depression will be greatly reduced. This review concludes with suggestions for the future direction of depression prevention research.