Burn injuries often cause prolonged oxidative stress and inflammatory pain due to an initial increase in inflammatory responses, consequently exacerbating depressive disorders and severely impairing patients’ quality of life. The primary function of traditional burn dressings is to prevent infection and facilitate tissue repair. However, these dressings are not intended for the inflammatory pain and depression that often occur during recovery. This study describes a self‐healing hydrogel H@EFCP, which is designed to alleviate inflammatory pain and post‐burn depression in burn injuries. This hydrogel is synthesized through the cross‐linking of carboxymethyl chitosan with borate ester chelates formed from epigallocatechin gallate and 4‐formylphenylboronic acid. The incorporated Prussian blue nanoparticles increase the ability of H@EFCP to regulate the inflammatory process. H@EFCP is effective in the treatment of skin burns by reducing oxidative stress and improving the microenvironment of peripheral inflammation in mice. This modulation consists of a reduction of central nervous system inflammation and the risk of post‐burn depression. Behavioral assays indicate that the hydrogel significantly reduces feelings of despair and anxiety after burns. Consequently, H@EFCP provides a dual‐effect solution for the care and recovery of burn patients, including both burn repair and the associated psychological effects.