Background It has been increasingly recognized that subthreshold depression is associated with considerable personal, social and economic costs. However, there is no accepted definition or clear‐cut treatment for subthreshold depression. Cognitive bibliotherapy is a promising approach, but further research is necessary in order to assess its clinical efficacy and key mechanisms of change. Aim This study aimed to investigate the efficacy of bibliotherapy for subthreshold depression and test whether maladaptive cognitions mediate the effects of bibliotherapy on depressive symptoms. Method A total of 96 young adults with subthreshold depression were randomized in one of the following treatment conditions: immediate treatment, delayed treatment, placebo and no treatment. The main outcome was represented by depressive symptoms assessed before, during and immediately after the treatment, as well as at 3‐month follow‐up. Automatic thoughts, dysfunctional attitudes and irrational beliefs were also assessed throughout the study, and we investigated their involvement as mediators of bibliotherapy effects on depressive symptoms. Results The results indicated that cognitive bibliotherapy resulted in statistically and clinically significant changes both in depressive symptoms and cognitions, which were maintained at follow‐up. In contrast, placebo was only associated with a temporary decrease in depressive symptoms, without significant cognitive changes. No changes in symptoms or cognitions were found in the delayed treatment and no treatment groups. We also found that automatic thoughts significantly mediated the effect of bibliotherapy on depressive symptoms. Conclusion This study provided compelling evidence for the efficacy of cognitive bibliotherapy in subthreshold depression and showed that changes in automatic thoughts mediated the effect of bibliotherapy on depressive symptoms. Copyright © 2012 John Wiley & Sons, Ltd. Key Practitioner Message Cognitive bibliotherapy is an effective treatment of subthreshold depression. Changing automatic thoughts is important, as they mediate the bibliotherapy effect on depressive symptoms. Cognitive bibliotherapy is a potential alternative or adjunct to psychotherapy for mildly depressed adults.