The objectives of this study were to measure the prevalence of mental distress and to explore the relationship between violence against women (VAW), social support, self-esteem, and mental distress in women in Riyadh, Saudi Arabia. A questionnaire-guided, cross-sectional, interview-based study was conducted with 1,932 women, in primary healthcare centers. Around 29% reported moderate to severe distress levels, whereas 40% of women reported lifetime exposure to at least one type of violence. Linear regression analysis found that VAW was positively associated with mental distress with a unit increase associated with a 0.13 (0.58, 1.15) increase in distress level, whereas, for both social support and self-esteem, a unit increase in violence was associated with −0.23 (−0.47, −0.32) and −0.22 (−0.49, −0.33) unit decrease in the mental distress. Structural equation modeling found that violence had direct significant negative effects on social support (β = −.156, p < .001) and self-esteem (β = −.135, p < .001). Both social support (β = −.266, p < .001) and self-esteem (β = −.183, p < .001) had direct significant negative effects on distress. VAW exerted a direct significant positive effect on distress (β = .171, p < .001) as well as an indirect effect (β = .068, p < .001). Both social support (β = .044, p < .001) and self-esteem (β = .025, p < .001) were significant mediators of the effect of violence on mental distress. VAW can lead to mental distress and low self-esteem. Identification, counseling, and social support for women are important to improve their self-confidence and reduce the adverse effects of violence.