Background Depression and anxiety are common in residents of elderly homes. Both disorders have negative effects on functioning, well‐being and health‐care utilisation. Besides treatment, prevention can be an option to reduce the burden of mental disorders. The objective of this study was to evaluate the cost‐effectiveness of a stepped care programme to prevent the onset of depression and anxiety disorders in residents of elderly homes compared with usual care from a societal perspective. Methods Outcomes were incidence of depression and/or anxiety, severity of depressive and anxiety symptoms and quality‐adjusted life years. Health‐care utilisation was measured during interviews. Multiple imputation was used to impute missing cost and effect data. Uncertainty around cost differences and incremental cost‐effectiveness ratios was estimated using bootstrapping. Cost‐effectiveness planes and acceptability curves were created. Results The incidence of depression and anxiety combined in the intervention group was not reduced in comparison with the usual care group. There was also no effect on the other outcomes. Mean total costs in the intervention group were €838 higher than in the usual care group, but this difference was not statistically significant (95% confidence interval, −593 to 2420). Cost‐effectiveness planes showed that there was considerable uncertainty. Cost‐effectiveness acceptability curves showed that the maximum probability of the intervention being cost‐effective in comparison with usual care was 0.46 for reducing the incidence of depression and anxiety combined. Conclusion A stepped care programme to prevent depression and anxiety in older people living in elderly homes was not considered cost‐effective in comparison with usual care. Copyright © 2013 John Wiley & Sons, Ltd.