Popular media convey notions that the United States is a postfeminist culture, where sexism is a thing of the past and gender equality prevails. Empirical data suggest otherwise. Further, links between group-based discrimination and psychological distress have been well documented (e.g., in bisexual and gay Latino men, African Americans, Asian Americans). Less understood are mediating factors explaining these links. We hypothesized a theory-based, integrated path model of women's distress and well-being as predicted by sexist events, highlighting intermediate effects of women's beliefs about justice and control in their lives. Specifically, we hypothesized that the more a woman experiences sexist events, the less fair and just her life seems; in turn, she feels less control of her life and reports heightened mental health concerns (depression, anxiety, less well-being). Cross-sectional data from 264 women indicated that sexist events had indirect effects on all three mental health variables, as mediated by just world beliefs and personal control, in sequence. However, direct (nonmediated) effects of sexist events on mental health remained. Both mean levels and patterns of links among variables were similar for African American and European American women. Regarding intervention, a key feminist goal is connecting personal distress with power and context. Women's health may be enhanced by increasing awareness of links found here, supporting development of attributions for distress extending beyond personal problems to societal conditions, skills to enhance feelings of personal control in other areas of their lives, and connections to the history of women's empowered social action.