Many studies have investigated the impact of gender on mental health, but only a few have addressed gender differences in mental health risk and prevention. We conducted a narrative review to assess the current state of knowledge on gender-specific mental health preventive interventions, along with an analysis of gender-based risk factors and available screening strategies. Out of 1598 articles screened using a comprehensive electronic search of the PubMed, Web-of-Science, Scopus, and Cochrane databases, 53 were included for review. Among risk factors for mental health problems, there are individual, familiar, social, and healthcare factors. Individual factors include childhood adversities, which show gender differences in distribution rates. However, current childhood abuse prevention programs are not gender-specific. Familiar factors for mental health problems include maternity issues and intimate partner violence, and for both, some gender-specific preventive interventions are available. Social risk factors for mental health problems are related to education, employment, discrimination, and relationships. They all display gender differences, but these differences are rarely taken into account in mental health prevention programs. Lastly, despite gender differences in mental health service use being widely known, mental health services appear to be slow in developing strategies that guarantee equal access to care for all individuals.