Background: Sexual harassment in the workplace (SHWP) is highly prevalent and has a negative impact, including depression, on its victims, as well as a negative economic impact resulting from absenteeism and low productivity at work. This paper aims to outline the available evidence regarding the prevention of depressive symptoms among workers through policies and interventions that are effective in preventing SHWP. Methods: We conducted two systematic reviews. The first focused on the association of depression and SHWP, and the second on policies and interventions to prevent SHWP. We conducted a meta-analysis and a narrative synthesis, respectively. We identified 1831 and 6107 articles for the first and second review. After screening, 24 and 16 articles were included, respectively. Results: Meta-analysis results show a prevalence of depression of 26%, as well as a 2.69 increased risk of depression among workers who experience SHWP. Variables such as number of harassment experiences and exposure to harassment from coworkers and other people increase this risk. Conclusions: There is limited evidence regarding the effectiveness of policies and training to prevent SHWP, mostly focused on improvements in workers’ knowledge and attitudes about SHWP. However, there is no available evidence regarding its potential impact on preventing depression.