University students experience many stressful events throughout their school lives, such that primary prevention of depression has become increasingly important. The purpose of this study was to investigate the effectiveness of an existing psycho-educational program that was improved and then applied in a university psychology class of undergraduates. The program was refined based on past research results (e.g., Oikawa & Sakamoto, 2007ab, 2008), teaching materials and methods in order to enhance undergraduates' comprehension and interest in the program. The experimental group participated in the program, which was based on cognitive behavior therapy and consisted of lectures on knowledge and skills needed to cope with negative moods and thoughts, group work (discussion and role playing), and homework. In each session, the experimental group participants rated their degree of comprehension, and completed questionnaires before and after the program. The control group participated only in the questionnaires. The experimental group's ratings and responses indicated that they understood the program well and were interested in the program. The results suggested that the program was effective in improving participants' self-efficacy for coping with depression. Based on the results, the role of such a prevention program conducted in higher education was discussed.