Purpose: There is evidence that depressed mood and perception of pain are related in patients with chronic illness. However, how individual resources such as self-efficacy and social support play a role in this association remains unclear. The aim of this study was to investigate the influence of both variables as either moderator or mediator. Method: In a longitudinal study, 274 injured workers (M = 43.24 years) were investigated. Data were collected on sociodemographics, depressed mood, pain, social support, and self-efficacy at three months post-injury, and depressed mood one year post-injury. Results: Hierarchical multiple linear regression analyses revealed that pain (β = 0.14; p < 0.01) and social support (β = −0.18; p < 0.001) were significant predictors of depressed mood. Self-efficacy moderated the relationship of pain (β = −0.12; p < 0.05) and depressed mood after one year. Lower self-efficacy in combination with pain had a stronger impact than higher self-efficacy and pain on depressed mood. Social support did not moderate the association. Conclusions: Self-efficacy for managing pain is important in the development of depressed mood. According to the results of this study, we suggest that the detection of low social support and low self-efficacy might be important in long-term rehabilitation process.Implications for RehabilitationRisk for depressed mood one year after an accident is high: One in five workers report depressed mood.Protective factors for depressed mood in injured workers needs to be considered in the rehabilitation.Focusing on resources like social support and self-efficacy could be protective against depressed mood.The early detection of low social support and low self-efficacy might be important in long-term rehabilitation processes.