Positive Occupational Health Psychology (POHP) examines the mechanisms that promote workers’ health and wellbeing, in addition to risk factors arising from work activity. The aim of this study was to analyze the mediating role of perceived stress in the effect that self-efficacy has on engagement in nurses. The sample comprised 1777 currently working nurses. We administered the Utrecht Work Engagement Scale (UWES), the Perceived Stress Questionnaire and the General Self-Efficacy Scale. Following bivariate correlational analysis, multiple linear regression analysis, and simple and multiple mediation analysis the results showed Self-efficacy to be a powerful personal resource that positively predicts employees’ engagement, although the effect diminishes when there are mediating variables of stress. We found differences in the way the different aspects of stress mediated the relationship between Self-efficacy and the engagement dimensions. “Energy–joy” was the strongest mediating variable for all of the engagement dimensions, and this, together with “harassment–social acceptance” dampened the effect of Self-efficacy on vigor and dedication, whereas “Overload” was only a mediator for dedication. Because nurses work in a stressful environment, risk factor arising from work activity, hospital management should design interventions to enhance their workers’ personal resources and improve personal and organizational wellbeing.