Background Despite rapid growth in the female prison population, there is little research on effectiveness of psychological interventions for them. Aims To test the hypotheses that (1) each of two psychological interventions administered separately – cognitive behavioural therapy (CBT) or positive psychology intervention (PPI) – would be more effective than ‘treatment‐as‐usual’ alone in reducing psychological distress and enhancing psychological well‐being; (2) outcomes would differ according to intervention; and (3) combining the interventions would be more effective than delivering either alone. Methods We recruited 40 women in a special Hong Kong prison unit for female offenders with psychological distress. Half of them received eight sessions of CBT followed by eight sessions of PPI; the other half received the same interventions in the reverse order. We recruited another 35 women who received only ‘treatment as usual’ (TAU) in the same unit. We used various clinical scales to assess the women's psychological distress or well‐being before and after the interventions or at similar time points for the comparison women. Results All intervention group women showed a significant reduction in psychological distress and enhancement in psychological well‐being after each intervention alone compared to the TAU women. There were no significant differences between CBT and PPI in this respect. Receiving both treatments, however, did yield significantly more improvement than either intervention alone in reducing depressive thoughts and enhancing global judgement of life satisfaction, self‐perceived strengths and hopeful thinking style. Conclusions and implication for practice Our findings provide preliminary empirical support for the effectiveness of psychological interventions with psychologically distressed women in prison. It would be important now to conduct a full, randomised trial to determine optimal length and combinations of treatment. Copyright © 2017 John Wiley & Sons, Ltd.