This study tested the mediating role of primary (e.g., threat and challenge perceptions) and secondary (e.g., coping potential and control perception) cognitive appraisal in the relationship between occupational stress and psychological health. This mediation was tested using a cross-sectional study based on self-reported measures. The total sample consisted of 2,302 nurses, 1,895 females (82.3%) and 407 males (17.7%), who completed an evaluation protocol with measures of occupational stress, cognitive appraisal, and psychological health. To test the mediating role of cognitive appraisal in the relationship between cognitive appraisal and psychological health, we used Structural Equation Modeling (SEM). The results confirmed that primary and secondary cognitive appraisals partially mediated the relationship between occupational stress and psychological health; however, the direct effects of stress on psychological health cannot be ignored. The findings indicated that cognitive appraisal is an important underlying mechanism in explaining adaptation at work.