Purpose Major life events have been positively associated with depression symptoms. Although psychological flexibility has been associated with adaptive coping skills and negatively linked with depression symptoms, it remains unclear whether psychological flexibility may be a protective process against the pervasive impact of major life events. Thus, the present study aimed to explore the moderating effect of psychological flexibility on the association between the cumulative number of major life events and their negative appraisal with depression symptoms. Methods Four hundred and one participants (280 females and 121 males), aged between 18 and 65 years old, completed a set of self‐report measures assessing the number of major life events that had occurred in the previous 12 months and their appraisal, as well as psychological flexibility, and depression symptoms. Results Correlation analyses showed a negative and strong association between psychological flexibility and depression symptoms. Path analyses revealed that psychological flexibility attenuated the effect of the cumulative number of major life events and their perceived negative impact on depression symptoms. Conclusions This study highlights the buffer role of psychological flexibility on the association of number of major life events and their negative appraisal, with depression symptoms. These findings suggest that being able to be in contact with the present moment with an accepting and non‐judging attitude towards internal experiences, and to engage in valued‐based action, may protect individuals against the negative impact of major life events with regards to depression symptoms.