Major depressive disorder is a leading cause of disability worldwide; identifying effective strategies to prevent depression relapse is crucial. This individual participant data meta-analysis addresses whether and for whom psychological interventions can be recommended for relapse prevention of major depressive disorder. One- and two-stage individual patient data meta-analyses were conducted on 14 randomized controlled trials (N = 1,720). The relapse risk over 12 months was substantially lower for those who received a psychological intervention versus treatment as usual, antidepressant medication, or evaluation-only control (hazard ratio, 0.60; 95% confidence interval, 0.48–0.74). The number of previous depression episodes moderated the treatment effect, with psychological interventions demonstrating greater efficacy for patients with three or more previous episodes. Our results suggest that adding psychological interventions to current treatment to prevent depression relapse is recommended. For patients at lower risk of relapse, less-intensive approaches may be indicated.