The ability of a school-based program with training in both cognitive and social skills to prevent depressive symptoms in children (the Penn Prevention Program) was evaluated. Research conducted in Australia has failed to replicate the success of the program in the United States. Also evaluated was the ability of the program to reduce the symptoms of anxiety, the assumption that changes in social skills and cognitive style would be associated with changes in symptoms of depression and anxiety, and the relative merits of the cognitive and social components of the program. Sixty-three children in fifth and sixth grades were randomly allocated to intervention and control groups. There was no evidence that the Penn Prevention Program had any impact on the variables measured at the end of the program or at the 8-month follow-up assessment. Limitations and implications of the present findings are discussed.