Background Despite the prevalence of depression among women in the justice system, and its potentially significant consequences, there is a dearth of studies investigating psychological treatments for depression in this context, especially outside prison. Aims Our aim was to gather preliminary data on whether individual interpersonal psychotherapy (IPT) is an acceptable and effective treatment for depression in women at an early stage in the justice system. Method In this pilot study, IPT was offered to 24 depressed women following their first or second contact with the justice system. The women were assessed using a range of scales to quantify depression, anxiety, post‐traumatic stress disorder (PTSD) and social support. Multilevel models were used to explore interactions between change in depression and other features given the multiplicity and complexity of problems. Details on engagement and attrition were also collected. Results Therapy attrition was low, despite challenging life‐circumstances and depression scores followed a linear trajectory with scores significantly decreasing over the time (β = −0.59, SE = 0.07, p < 0.001). Participants with more adverse life events, attachment related anxiety and lower social support had poorer outcomes. Conclusions and Implications Results are encouraging. More than half of the hard‐to‐reach women who were eligible did engage, and retention rates suggest the therapy was acceptable to them. Depression scores improved, and potential factors affecting treatment outcome were identified. A randomised controlled trial is now warranted, ensuring adequate supplementary support for women with dependants living on their own and without employment.