Occupational stress and depressive symptoms are common among professionals in the primary healthcare system, and the former can lead to a more severe level of the latter. However, there are few studies on the mediating effect of occupational stress on depressive symptoms using cumulative fatigue as a mediating variable. The Core Occupational Stress Scale, the Self Diagnosis Scale of Workers’ Cumulative Fatigue, and the Patient Health Questionnaire were used in the proposed study. To analyze and test the mediating effect, the hierarchical regression analysis method and the Bootstrap method were applied. Our results showed that occupational stress was positively correlated with the level of cumulative fatigue (p < 0.01) and depressive symptoms (p < 0.01). Cumulative fatigue played a partial, mediating role between the four dimensions of occupational stress and depressive symptoms, and the effect size of occupational stress and each dimension was 0.116 (95% CI: 0.096–0.135, p < 0.001), −0.204 (95% CI: −0.245–−0.166, p < 0.001), 0.179 (95% CI: 0.143–0.218, p < 0.001), 0.333 (95% CI: 0.283–0.385, p < 0.001), and −0.210 (95% CI: −0.292–−0.132, p < 0.001), respectively, while the percentages of the mediating effects were 43.56%, 44.46%, 48.58%, 71.26%, and 45.80%, respectively. Occupational stress can directly or indirectly affect depressive symptoms through the mediating effect of cumulative fatigue. Therefore, primary healthcare professionals can reduce occupational stress, which in turn relieves depressive symptoms, and thus reduce cumulative fatigue levels.