Repeated surveys of prostate cancer (PCa) patients indicate that their prevalence of depression is well above that for their non-PCa peers. Although standard first-line treatments for depression are only about 35% effective, some recent comments have suggested that a focus upon the possible correlates (factors that aggravate or mediate depression) might help improve treatment efficacy. To investigate this issue, 144 10 year PCa survivors were asked about the frequency of urinary incontinence, a common side effect of some PCa treatments. The 53 patients who suffered urinary incontinence had significantly higher depression scores on the Zung Self-rating Depression Scale than those patients who did not report urinary incontinence. Using mediation analysis, patients' psychological resilience (PR) significantly mediated the depressive effects of urinary incontinence, but those effects were confined to just one of the five components of PR—a sense of control over the things that happen to oneself. Implications for treatment models of psychosocial oncology support for PCa survivors are discussed.