There is controversy about whether psychotherapies are effective in the treatment of subclinical depression, defined by clinically relevant depressive symptoms in the absence of a major depressive disorder. To examine whether psychotherapies are effective in reducing depressive symptoms, reduce the risk of developing major depressive disorder and have comparable effects to psychological treatment of major depression. We conducted a meta-analysis of 18 studies comparing a psychological treatment of subclinical depression with a control group. The target groups, therapies and characteristics of the included studies differed considerably from each other, and the quality of many studies was not optimal. Psychotherapies did have a small to moderate effect on depressive symptoms against care as usual at the post-test assessment (g = 0.35, 95% CI 0.23-0.47; NNT = 5, 95% CI 4-8) and significantly reduced the incidence of major depressive episodes at 6 months (RR = 0.61) and possibly at 12 months (RR = 0.74). The effects were significantly smaller than those of psychotherapy for major depressive disorder and could be accounted for by non-specific effects of treatment. Psychotherapy may be effective in the treatment of subclinical depression and reduce the incidence of major depression, but more high-quality research is needed.