Open-label placebo (OLP) may be utilized to reduce psychological distress. Yet, potential contextual effects have not been explored. We investigated the impact of pharmaceutical form and the simulation of side effects in a parallel group RCT (DRKS00030987). A sample of 177 highly stressed university students at risk of depression were randomly assigned by computer generated tables to a 1-week intervention with active or passive OLP nasal spray or passive OLP capsule or a no-treatment control group. After the intervention, groups differed significantly in depressive symptoms but not regarding other outcomes of psychological distress (stress, anxiety, sleep quality, somatization), well-being or treatment expectation. OLP groups benefitted significantly more compared to the no-treatment control group (d = .40), OLP nasal spray groups significantly more than the OLP capsule group (d = .40) and the active OLP group significantly more than the passive OLP groups (d = .42). Interestingly, before intervention, most participants, regardless of group assignment, believed that the OLP capsule would be most beneficial. The effectiveness of OLP treatments seems to be highly influenced by the symptom focus conveyed by the OLP rationale. Moreover, pharmaceutical form and simulation of side effects may modulate efficacy, while explicit treatment expectation seems to play a minor role.