The cognitive mediation hypothesis describes the influence of psychological factors on the relationship between pain and depression such as cognitions of catastrophizing and help-/hopelessness. More recent research also emphasizes the role of suppression of negative thoughts and experiences such as pain. However, there is little research investigating direct and indirect effects of these contrasting cognitions. A total of 164 acute and sub-acute non-specific back pain patients participated in this study. Pain intensity, depression, and pain-related cognitions were measured using questionnaires, such as the Beck Depression Inventory and the Kiel Pain Inventory. Data were analyzed using structural equation modeling. The results of the path analysis support the hypothesis that cognitive coping strategies have a mediating effect on pain and depression. Consistent with previous research, we found that pain had no direct relation with depression. Help-/hopelessness had a direct path to depression, whereas catastrophizing had an indirect effect via increased help-/hopelessness. The current results also indicate that thought suppression mediated the relationship between pain and depression via both direct and indirect effects. Cognitive mediators, such as help-/hopelessness, catastrophizing, and thought suppression, have a significant impact on depression in patients with acute and sub-acute back pain. The current results may aid in the optimization of treatments for these patients by focusing attention toward the modification of dysfunctional cognitive pain-coping strategies.