Background: Psychological interventions are increasingly discussed as a method to prevent major depressive disorder (MDD) in adults who already experience subthreshold depressive symptoms. In this individual participant data meta-analysis, we quantify the effect of preventive interventions against control on MDD onset in this population, and explore effect modifiers. Methods: In this systematic review and individual participant data meta-analysis, we screened full-texts of eligible studies within the Metapsy research domain for articles on psychological interventions for depression, from database inception to May 1, 2023, published in English, German, Spanish, and Dutch. We included individual participant data of randomised trials comparing psychological interventions with a control group regarding their effects on MDD onset in adults with subthreshold depressive symptoms but no MDD at baseline, confirmed by standardised diagnostic interviews. Risk of bias was assessed using the RoB 2 tool. Effect on the onset of MDD (the primary outcome) and moderators were analysed using one-stage individual participant data meta-analysis. Survival analyses were conducted to examine effects on time to MDD onset within 12 months. We involved people with related lived experience in the study design and implementation. This study is registered with PROSPERO, CRD42017058585. Findings: 30 of 42 eligible randomised controlled trials with 7201 participants (2227 [30·9%] male, 4957 [68·9%] female, and 17 [0·2%] preferred not to report their sex) were included in our analysis (3697 participants had intervention and 3504 participants had control). The mean age of participants was 49·9 years (SD 19·2). Of the 3152 participants with reported ethnicity, 1608 (51·0%) were White. Five studies received a high risk of bias rating. Psychological interventions were associated with significantly reduced MDD incidence at post-treatment (incidence rate ratio [IRR] 0·57 [95% CI 0·35–0·93]; τ²=0·29; 18 studies), within 6 months (0·58 [0·39–0·88]; τ²=0·11; 18 studies), and within 12 months (0·67 [0·51–0·88]; τ²=0·05; 19 studies). No significant effect was observed at 24 months (IRR 1·16 [95% CI 0·66–2·03]; τ²=0·10; six studies). Preventive effects were stronger for individuals who had not previously had psychotherapy (IRR 0·39 [95% CI 0·25–0·62]) compared with those who had received psychotherapy before (0·92 [0·61–1·36]; p=0·029; seven studies). Although no overall linear association was identified, higher baseline depressive (Patient Health Questionnaire-9) and anxiety symptom (Generalized Anxiety Disorder-7) scores were associated with greater reductions in MDD onset risk. On the study level, delivery type appeared to moderate outcomes, with conference telephone calls being more effective than delivery via face-to-face, internet-based, and other formats (p=0·002), albeit based on only two studies of conference telephone calls with four comparisons. Other factors (eg, age) showed no significant differential effects. Interpretation: Our findings show the effectiveness of preventive psychological interventions for subthreshold depressive symptoms. Tailoring interventions to consider participant-level and study-level factors could help to increase the impact of such interventions on a population level. Funding: None.