Background There is paucity of evidence‐based psychological interventions for depressive disorders in Africa, more so among depressed children and adolescents. This study aimed to determine the effects of a school‐based cognitive behavioural therapy programme (CBT) on depressed adolescents in South West Nigeria. Methods Forty students who scored 18 or above on the Beck Depression Inventory (BDI) were recruited from two schools (20 from each school). One school was designated intervention and the other a wait‐list control school. Five weekly sessions of group CBT programme were conducted in the intervention school. Primary outcome measure was the Beck Depression Inventory, and secondary outcome measures were the Short Mood and Feelings Questionnaire and the Impact Supplement of the Strengths and Difficulties Questionnaire. Results Controlling for baseline scores and other confounders, the intervention group had significantly lower depressive symptoms scores on the BDI and SMFQ 1 week post intervention with large effect sizes. The intervention group maintained the treatment effect with significantly lower depression scores 16 weeks post intervention compared with their baseline scores. The effect sizes remained large. The intervention and control groups did not differ in their SDQ impact supplement scores post intervention, but the intervention group improved significantly on this measure at 16 weeks. Conclusions To our knowledge, this is the first study of a school‐based group CBT programme for depressed adolescents in Africa. The programme showed good feasibility and promising effectiveness.