The prevalence of preschool major depressive disorder (MDD) was studied in the community. The whole population of children between 3 and 6 years attending preschool nurseries in three areas (one urban, one rural and one suburban) in Spain (n = 1,427) were contacted. Selection was by a two-stage procedure. At stage I, the ESDM 3-6, a screening measure for preschool depression, was used to identify a sample for more intensive interviewing. Sensitivity and specificity of the cut-off point of the ESDM 3–6 had been previously tested in a pilot study (n = 229). During the first stage, 222 preschool children (15.6%) were found to be probable depressives, because they scored 27 or more, the cut-off used. At stage II, the children were interviewed and diagnosed by the consensus of two clinicians, blind to the ESDM 3-6 results. DSM-IV diagnostic criteria were used to define caseness. A total of 16 children (1.12%) met the MDD criteria. The prevalence by areas was urban 0.87%, rural 0.88%, suburban 1.43%. Sex distribution prevalence was 1:1. This study is a contribution to the scarce epidemiology of preschool depression in the community.