Presenteeism is the term used to describe going in to work even with a health problem. The phenomenon has been identified as one prior factor in sickness absence and, accordingly, the better it is understood, the better will be the prevention strategies. This study aimed to examine the mediating role of presenteeism (the ability to concentrate on work and to complete work despite a health problem) in the association between psychosocial factors at work and common mental disorders (CMD). This cross-sectional study included 1218 nursing personnel at a public hospital in Brazil. Structural equation modelling was performed. The sample comprised mostly women (85.4%), and the mean age was 44.1 (SD = 11.3; range: 24–70) years. Prevalence of presenteeism was 32.8%. Among presenteeist workers (n = 400), a relationship was observed between presenteeism and higher CMD scores. Furthermore, being able to concentrate on work even with a health problem mediated the relationship between social support and CMD and between psychological demands and CMD. Working when sick impairs both the work and the worker’s health. Interventions designed to improve working conditions and interpersonal relations can be effective strategies against presenteeism.