Construction workers are often subjected to strenuous manual labor, poor working conditions, and prolonged separation from family, leading to psychological symptoms such as stress, depression, and anxiety. These psychological factors, combined with safety climate elements like risk perception and safety attitude, significantly influence workers’ safety behaviors, including risk-taking, safety compliance, and safety participation. To address these issues, this study investigates the interplay between psychological symptoms, safety climate, and safety behaviors among construction workers in Mainland China. Data were collected through a survey of 160 construction workers, with results analyzed using correlation and regression techniques. The findings reveal that: (1) risky behavior is primarily driven by anxiety and risk perception; (2) safety participation is influenced by safety attitudes and levels of depression; and (3) safety compliance is affected by risk perception, safety attitude, stress, and depression. Interestingly, an inverse relationship is observed between depression and both risky behavior and safety compliance. These results underscore the importance of addressing psychological well-being to improve safety outcomes. Practical implications include providing psychological counseling, stress management training, and improving social connections for workers, such as facilitating regular video calls with family members or offering travel reimbursements.