The self-construal of employees is a potential boundary condition of the challenge–hindrance model that may enhance our understanding of the varying effects of challenge and hindrance stressors on psychological health. The present study was performed to examine the moderating effect of self-construal on the prospective association of workload and role ambiguity with serious psychological distress among employees in a Japanese workplace. In this prospective cohort study, a baseline survey (October 2020) and a follow-up survey (January 2022) were administered to employees of a manufacturing corporate group in Japan. Logistic regression analyses were conducted using 711 complete responses to estimate the odds ratio of having serious psychological distress at follow-up. The results partially supported the moderating effect of self-construal, in which the workload was significantly and positively associated with subsequent serious psychological distress only for high independent or interdependent self-construal, even after controlling for covariates; the hypothesized moderating effect was not observed for role ambiguity. These findings suggest that self-construal may provide a psychosocial context under which specific challenge and/or hindrance stressors become particularly harmful to employees’ psychological health, thus guiding selective and indicated interventions based on the self-construal.