An increasing number of studies is proving the efficacy of Internet-based interventions (IBI) for treating depression. While the focus of most studies is thereby lying on the potential of IBI to alleviate emotional distress and enhance well-being, few studies are investigating possible negative effects that might be encountered by participants. The current study was therefore exploring self-reported negative effects of participants undergoing a cognitive-behavioral IBI targeting mild to moderate depression over 6 weeks. Data from the client pool of a German insurance company (n = 814, 68% female) revealed that 8.6% of the participants reported the experience of negative effects. Qualitative content analysis yielded two broad categories and five subcategories for the nature of participants' experiences of negative effects: participant-related negative effects (insight and symptom) and program-related negative effects (online format, contact, and implementation). By using both, qualitative and quantitative methods, results did not only shed light on the characteristics of negative effects but analyses also found that working alliance was a predictor for the experience of negative effects. Monitoring the occurrences of negative effects as well as working alliance throughout treatment was considered essential to help prevent negative effects and attrition among participants undergoing IBI for depression.