Anxiety and depression are common problems experienced by children and adolescents that, without an effective intervention, can lead to a series of negative consequences. The aim of this study was to evaluate the effectiveness the Spanish version of the FRIENDS for Life program (Barrett, 2008a, 2008b), a social and emotional skills program that uses cognitive-behavioural techniques for the prevention and early intervention of anxiety and depression. The program was implemented at the selective level of prevention with girls living at an orphanage in Mexico. Participants received the program for 10 consecutive weeks, and pretest and post-test measures were administered. Measures evaluated participants’ anxiety and depressive symptoms and risk status, proactive coping skills, levels of self-concept, self-esteem, and optimism. Social validity was also assessed. Results showed positive changes particularly in optimism and self-concept. Particular items and subscales of the measures also reported statistically significant changes, such as a decrease in worry, physiological symptoms of anxiety, and negative mood, and an increase in self-esteem at home and with peers. Participants evaluated the program as enjoyable and useful. Implications of the findings and further research are discussed.