Background: Pneumoconiosis is one of the most prevalent occupational diseases in China. The present study aims to examine the status, needs, and challenges of people with pneumoconiosis from a socioeconomic perspective and to reveal the mechanisms by which the disease is linked to their psychological well-being. This study also examines the association of the social security subsidy to such mechanism. Methods: A questionnaire survey of 1134 respondents from seven cities or districts in China was conducted from 2014 to 2016. Generalized Structural Equation Modeling (GSEM) was employed to complete the analysis using Stata 16. Results: Respondents with poor socioeconomic status engaged longer in dusty work and had higher stages of pneumoconiosis, complications, and aggravation. These, in turn, were linked to their socioeconomic status due to high treatment expenditure and loss of the ability to work, which were negatively associated with their psychological well-being. Social security assistance and subsidies could help improve their socioeconomic status. Conclusions: This study provides evidence for the mechanism of social factors linking to physical health and further to psychological well-being among people with pneumoconiosis. Social security assistance and subsidies should be urgently provided for them to improve their socioeconomic status and their psychological well-being.