Introduction: Self-Help Plus (SH+) is a group-based psychological intervention developed by the World Health Organization for managing stress. Objective: To assess the effectiveness of SH+ in preventing mental disorders in refugees and asylum seekers in Western Europe. Methods: We conducted a randomized controlled trial in 5 European countries. Refugees and asylum seekers with psychological distress (General Health Questionnaire score ≥3), but without a Diagnostic and Statistical Manual of Mental Disorders, 5th edition (DSM-5) or ICD/10 diagnosis of mental disorder, as assessed with the Mini International Neuropsychiatric Interview (MINI), were randomized to SH+ or enhanced treatment as usual (ETAU). The primary outcome was the frequency of mental disorders with the MINI at 6 months. Secondary outcomes included the frequency of mental disorders at postintervention, self-identified problems, psychological symptoms, and other outcomes. Results: Four hundred fifty-nine individuals were randomly assigned to SH+ or ETAU. For the primary outcome, we found no difference in the frequency of mental disorders at 6 months (Cramer V = 0.007, p = 0.90, RR = 0.96; 95% CI 0.52–1.78), while the difference significantly favored SH+ at after the intervention (secondary outcome, measured within 2 weeks from the last session; Cramer V = 0.13, p = 0.01, RR = 0.50; 95% CI 0.29–0.87). Conclusions: This is the first randomized indicated prevention study with the aim of preventing the onset of mental disorders in asylum seekers and refugees in Western Europe. As a prevention effect of SH+ was not observed at 6 months, but rather after the intervention only, modalities to maintain its beneficial effect in the long term need to be identified.