Prevention of depressive disorders is one of the most important challenges for health care in coming decades. Depressive disorders in all age groups have a high disease burden and are associated with huge economic costs, and current treatments are only capable of taking away one-third of the (nonfatal) disease burden of depression under optimal conditions. Prevention may be one alternative strategy that may help in further reducing the disease burden of depression. Because of the worldwide increase in the number of older adults, the number of depressed older adults will also increase considerably in the next few decades, making prevention of depression an important priority for research. Identifying the high-risk target groups for preventive interventions is complicated because most risk indicators have a low specificity, indicating that most people from these groups will not develop the disorder despite increased risk levels. We describe one promising method to identify the best target groups, based on the principle that the high-risk group should be as small as possible, should be responsible for as many new cases of depression as possible, and that intervention be as effective as possible. The number of trials examining the possibility to prevent the onset of depressive disorders in those who do not (yet) meet diagnostic criteria for depression is increasing rapidly. A recent meta-analysis identified more than 30 randomized trials and these studies showed that the incidence of depressive disorders was 21% lower in the prevention groups compared with the control groups who did not receive the preventive intervention. Most of these trials are aimed at adolescents and younger adults. Only six trials were specifically aimed at older adults. The development of evidence-based preventive interventions for major depression and other mental disorders should be an important scientific and public health objective for the 21st century.