Aim This study assessed the effectiveness of an individualised intervention to reduce parental stress, anxiety and depression in a neonatal intensive care unit (NICU). Methods Parents of infants admitted to the NICU for a minimum of 4 weeks underwent a five‐step individualised intervention programme delivered by a psychologist. Results The study population comprised 40 mothers and 25 fathers in the intervention group and 40 mothers and 29 fathers in the control group who received the standard support. Similar stress levels were observed in both groups before the intervention. However, after 15 days, the group that received the individualised intervention showed a statistically significant lower level of anxiety, with none of the mothers and fathers in the intervention group reporting anxiety, compared with 2.5% of mothers and 10.3% of fathers in the control group. At discharge, 50% of mothers and 80% of fathers in the intervention group reported no level of depression, compared to all the mothers and fathers in the control group. Conclusion An intervention programme individualised to the needs of mothers and fathers with infants admitted to a NICU for at least 4 weeks was effective in reducing anxiety and depression compared to the standard care.