Background: Given the existing economic constraints, prevention of depression has to be carefully targeted, and applied where it is likely to yield the highest possible health benefits at the lowest possible cost. Aim: To identify those risk factors of depression that have the greatest use potential from the perspective of prevention. Method: Data were derived from a population-based prospective cohort of 4664 adults who had never experienced a depression. Their health status was re-examined after 1 year. Incidence rate ratios (IRR), population attributable risks (PAR) and numbers needed to be treated (NNT) were calculated to create a hierarchy of risk factors. Results: Selecting high-risk groups with migraine, abdominal and respiratory complaints and markers of vulnerability or childhood trauma appears to be an indicated strategy. Conclusions: This study illustrates how epidemiology can contribute towards setting a Research and Development agenda for primary prevention of depression.