In Australia and New Zealand, young construction workers have high suicide rates that are associated with increased psychological distress. Research so far has focused on risk factors, such as workplace bullying during young workers’ apprenticeship training. However, there is a gap in research on factors associated with fostering psychological well-being and the development of strength-based interventions for the industry. One factor which is related to psychological well-being is self-compassion, the ability to be empathic towards oneself during times of suffering or failure. The present study (N = 252) examined relationships between self-compassion, psychological well-being, psychological distress and exposure to workplace bullying in New Zealand construction apprentices. Results showed that self-compassion was positively and significantly related to psychological well-being and negatively related to psychological distress. Self-compassion also uniquely predicted all of the six dimensions of psychological well-being. Experiences of workplace bullying and psychological distress were substantial, and workplace bullying was positively related to psychological distress. Contrary to our hypothesis, self-compassion did not moderate the association between bullying and psychological distress. Overall, these findings indicate that self-compassion interventions may have promise as a mechanism to improve the well-being of construction apprentices.