Background: Depressive disorders in adolescents are a widespread and increasing problem. Prevention seems a promising and feasible approach. Methods: We designed a cognitive-behavioral school-based universal primary prevention program and followed 347 eighth-grade students participating in a randomized controlled trial for three months. Results: In line with our hypothesis, participants in the prevention program remained on a low level of depressive symptoms, having strong social networks. The control group showed increasing depressive symptoms and a reduced social network. Contrary to our expectations, students low in self-efficacy benefited more from the program than high self-efficient students. Social network did not mediate the relationship between participation in the prevention program and changes in depressive symptoms. Conclusions: Our results show that the prevention program had favorable effects. Further research is needed to explore the impact of self-efficacy on the effects of prevention programs.