Repetitive transcranial magnetic stimulation (rTMS) is a safe and effective treatment for major depression (MD). However, the perceived lack of a suitable sham rTMS condition might have compromised the success of blinding procedures in clinical trials. Thus, we conducted a systematic review and meta-analysis of randomized, double-blind and sham-controlled trials (RCTs) on high frequency (HF-), low frequency (LF-) and bilateral rTMS for MD. We searched the literature from January 1995 to July 2012 using Medline, EMBASE, PsycINFO, Cochrane Central Register of Controlled Trials and Scopus. The main outcome measure was participants’ ability to correctly guess their treatment allocation at study end. We used a random-effects model and risk difference (RD). Overall, data were obtained from seven and two RCTs on HF- and bilateral rTMS, respectively. No RCT on LF-rTMS reporting on blinding success was found. HF- and bilateral rTMS trials enrolled 396 and 93 depressed subjects and offered an average of approximately 13 sessions. At study end, 52 and 59% of subjects receiving HF-rTMS and sham rTMS were able to correctly guess their treatment allocation, a non-significant difference (RD = −0.04; z = −0.51; p = 0.61). Furthermore, 63.3 and 57.5% of subjects receiving bilateral and sham rTMS were able to correctly guess their treatment allocation, also a non-significant difference (RD = 0.05; z = 0.49; p = 0.62). In addition, the use of angulation and sham coil in HF-rTMS trials produced similar results. In summary, existing sham rTMS interventions appear to result in acceptable levels of blinding regarding treatment allocation.