Damaged self-esteem can explain the negative effects of various job stresses on depressive symptoms of migrant workers. Social support may threaten workers’ self-esteem in highly stressful environments, and in turn worsen their mental health. This study aimed to examine the indirect role of self-esteem in the relationship between job stress and depressive symptoms among migrant workers in Macau and whether this indirect effect is modified by social support. A sample of 900 mainland Chinese migrant workers was recruited into the study. Job stress, social support, self-esteem, and depressive symptoms were measured. Conditional process analysis was used to examine the proposed moderated mediation model. Job stress was associated with depressive symptoms through lower self-esteem. The indirect effect of job stress on depressive symptoms via decreased self-esteem was significant among migrant workers with higher levels of social support, but not among migrant workers with lower levels of social support. Our findings suggest that when migrant workers perceive a high level of social support, job stress is more likely to threaten their self-esteem and in turn increase their risk for depression. Future efforts aimed at promoting the mental health of migrant workers need to tailor interventions to avoid the threatening effect of social support on self-esteem in job environments with high stress.