Background Occupational stress and depressive symptoms of disease prevention and control personnel are serious. Objective To investigate the relationship between occupational stress, psychological capital, and depressive symptoms of disease prevention and control personnel, and analyze the potential mediating effect of psychological capital on the relationship between occupational stress and depressive symptoms. Methods From July to September 2020, a cluster random sampling method was used to select 2201 employees from 21 centers for disease control and prevention as study subjects covering all levels of administrative divisions in Jiangsu Province. A total of 2036 valid questionnaires were collected with a recovery rate of 92.5%. The Core Occupational Stress Scale, Patient Health Questionnaire, and Psychological Capital Questionnaire were used to investigate their occupational stress, depressive symptoms, and psychological capital. Stratified regression analysis was used to explore the effects of occupational stress and psychological capital on depressive symptoms. A mediating effect model was used to analyze and verify the potential mediating effect of psychological capital on the relationship between occupational stress and depressive symptoms. Results The total scores in M (P₂₅, P₇₅) of occupational stress, depressive symptoms, and psychological capital in the target population were 42.0 (37.0, 48.0), 8.0 (4.0, 9.0), and 4.6 (4.0, 5.0) respectively. The positive rate of occupational stress was 31.0% (631/2036), and the positive rate of depressive symptoms was 22.0% (448/2036). The dimensional scores of organization and reward, and demand and effort of occupational stress were positively correlated with the total score of depressive symptoms [Spearman correlation coefficients (r_s) were 0.371 and 0.269, P<0.05]. The dimensional scores of social support and autonomy of occupational stress and the score of psychological capital were negatively correlated with the total score of depressive symptoms (r_s=−0.373, −0.112, −0.494, P<0.05). The organization and reward, and demand and effort had positive effects on depressive symptoms (b=0.188, 0.177, P<0.05), while social support and autonomy had negative effects on depressive symptoms (b=−0.290, −0.078, P<0.05), and associated with a 22.5% increase of explanatory variance. Psychological capital had a negative effect on depressive symptoms (b=−0.368, P<0.05), and associated with an 11.0% increase of explanatory variance. Psychological capital had mediating effects on the associations of social support, organization and reward, and autonomy with depressive symptoms, and the mediating effect values were −0.210 (95%CI: −0.253-−0.171), 0.096 (95%CI: 0.071-0.122), and −0.164 (95%CI: −0.229-−0.103), respectively. The corresponding mediating effect percentages were 40.23%, 26.97%, and 45.56%, respectively. Conclusion Occupational stress of disease prevention and control personnel can directly affect depressive symptoms, but also indirectly through psychological capital. Psychological capital plays a partial mediating role in the associations of social support, organization and reward, and autonomy of occupational stress with depressive symptoms. The occurrence of depressive symptoms can be reduced by decreasing occupational stress and increasing psychological capital.