The objective of the present study was to determine the mediating role of self-efficacy between religiosity, social support, and depression in patients with lost limbs. We sampled 67 male and 33 female disabled patients who had lost limbs in accidents or amputations from four public hospitals in Lahore, Pakistan, and used Religiosity Index (Farooq and Imam, in The effect of religiosity on locus of control. Department of Psychology, Govt College University, Lahore, 1997), General Self-efficacy Scales (Tabassum et al., in Urdu adaptation of the general self-efficacy scale. Retrieved from http://userpage.fu-berlin.de/~health/urdu.htm , 2003), Berlin Social Support Scale (Schwarzer and Schulz, in Berlin Social Support Scales. Retrieved online from http://userpage.fuberlin.de/~gesund/skalen/Language_Selection/Turkish/BerlinSocialSupportScales/berlin_social_support_scales.htm , 2000), and Siddiqui-Shah Depression Scale (Siddiqui and Shah, in Pychol Dev Soc 9(2):245-262, 1997), and used a correlation matrix and mediational analyses along with other inferential statistics to develop a model that suggested self-efficacy mediated between religiosity, social support, and depression with negative correlations that partially mediated this relationship. The findings suggest that low level of religiosity, social support, and self-efficacy may play a role in the onset and continuation of depression or its symptoms. We found no significant differences in gender, education, and cause of disability in patients with lost limbs. Results have implications for clinical psychologists, counselors, and health psychologists to develop a treatment plan for such patients with depression focusing on the factors implicated above.