Researchers have suggested that self-efficacy can predict and prevent depression, while negative coping strategies, as typified by rumination, can lead to depression. The authors examined the relationship between self-efficacy, rumination, and depression in Japanese nursing students. The result of a structural equation model showed that rumination, but not self-efficacy, predicted depression. The result of simultaneous multiple group analysis indicated that there was homogeneity within the same path diagram between genders. The result implied that stress management should focus on controlling the degree of rumination rather than self-efficacy in order to efficiently maintain the mental health of Japanese nursing students.