Mild depressive syndromes are highly prevalent among primary care patients. Evidence based treatment recommendations need to be derived directly from this diagnostically heterogeneous group. Primary aim was to assess the efficacy of sertraline and cognitive-behavioral group therapy for treatment of depressed primary care patients, secondary aim was to evaluate if receiving treatment according to free choice is associated with a better outcome than randomization to a particular treatment. We conducted a randomized, placebo-controlled, single-center, 10-week trial with five arms: sertraline (flexible dosages up to 200 mg/day) (n=83); placebo (n=83); manual-guided cognitive-behavioral group therapy (1 individual session and 9 group sessions per 90 minutes) (n=61); guided self-help group (control condition (n=59); treatment with sertraline or cognitive-behavioral group therapy according to patients’ choice (n=82). From 1099 consecutively screened adult patients, 368 formed the intent-to-treat population with milder forms of depression. Primary outcome was a global efficacy measure combining z-converted Hamilton Depression Rating Scale and clinician-rated Inventory for Depressive Symptomatology. Sertraline was superior to placebo (p = 0.03). Outcome for guided self-help groups was worse compared to cognitive-behavioral group therapy (p = 0.002) and compared to all other treatment arms including pill placebo (secondary analyses). Outcome in the patients’ choice arm was similar to that in the sertraline and cognitive-behavioral group therapy. Overall, sertraline is efficacious in primary care patients with milder forms of depression. The superiority of cognitive-behavioral group therapy over guided self-help groups might partly be explained by “nocebo” effects of the latter.