This study examined the relationship between sickness absence from work, loss of the benefits of employment, and depression in injured workers. A sample of 112 clients of Australian occupational rehabilitation service providers were the participants: (men = 56; women = 56; mean age = 45.25 years, SD = 10.34). Each had a chronic (>3 months) work-related musculoskeletal injury; 49% were sickness absent (n = 55) and 51% were partially fit and performing modified duties (n = 57). All completed self-report measures of the nature and duration of sickness absence, access to the benefits of employment, and severity of depression symptoms. Bootstrapping mediational analyses found that the relationship between duration of sickness absence and depression was fully mediated by financial strain and psychosocial benefits of employment. Financial strain was also the strongest predictor of depression in circumstances of sickness absence, but collective purpose was the strongest predictor when modified duties were being performed. These findings support injury management policies aimed at minimising injured workers' social and physical separation from the workplace and assisting sickness absent workers to maintain connections with their work team.