Growing research evidence points towards a mental health crisis in PhD students. High-quality support services for PhD students are scarce as is research on interventions. Inspired by Conservation of Resources theory, we introduce a novel type of PsyCap intervention—a self-compassion-based PsyCap training—that aims to improve PhD students’ well-being (i.e., in terms of reducing work pressure and increasing positive affect and support seeking) through PsyCap and self-compassion. 115 PhD students in the Netherlands were randomized to a self-compassion-based PsyCap intervention, a PsyCap-only intervention, or a wait-list control group. Results indicated that the self-compassion-based PsyCap intervention increased self-compassion, reduced work pressure, and increased support seeking in the short term following the intervention. The PsyCap-only intervention increased psychological capital and reduced work pressure in the short term. Notably, increase in self-compassion was a key mechanism through which participants of the self-compassion-based PsyCap intervention, but not the PsyCap-only intervention, experienced improvements in all well-being outcomes over the longer term. Unexpectedly, the self-compassion-based PsyCap intervention increased psychological capital only at follow-up via self-compassion. This study provides initial evidence that developing PsyCap, alongside self-compassion, may take longer but benefits PhD students’ well-being and does so more than developing PsyCap alone.