Although few prevention studies have been designed to investigate the course of prevention effects over time, it seems that the effects on depressive symptoms increase from post-intervention to 6-month follow-up but then decrease with longer lags to follow-up. Furthermore, previous prevention studies have found differential intervention effects for boys and girls without testing possible explanations for this effect. The present randomized control group study with 301 8th-grade students examined the effects of a depression prevention program from baseline until 12-month follow-up. As expected, while positive intervention effects were found on girls’ depressive symptoms, no such effects were found on boys’ depressive symptoms. Further, the positive intervention effects on girls’ depressive symptoms increased to the 6-month follow-up and remained stable through the 12-month follow-up, while depression symptoms in control-group girls increased from 6-month to 12-month follow-up. Further exploratory analyses revealed that neither baseline conduct problems nor cognitive or social knowledge of the prevention program at 12-month follow-up alone explained the sex effect. However, some limited evidence was found indicating that total knowledge (cognitive and social) might partially explain the effect but there was significant variability remaining to be explained.