In the past 15 years a considerable number of studies have found evidence that it may be possible to prevent the onset of some mental disorders. Most evidence is available for depressive disorders, but a growing number of studies have focused on anxiety disorders and psychotic disorders. This paper reviews the studies which have examined the effects of preventive interventions on the incidence of mental disorders in people who do not meet criteria for a mental disorder at baseline. More than 20 studies have examined prevention of depressive disorders, and they have found an overall reduction in the incidence of about 25% compared with control groups. The problem of identifying the most optimal target groups for preventive interventions is also illustrated. This is a problem because most risk indicators have a low specificity, and most people with a risk indicator do not develop a mental disorder. Finally, this paper will show how other statistics, such as the exposure rate, the attributable fraction, and the number needed to treat can help in identifying the most optimal target groups for preventive interventions.