Post-stroke depression (PSD) is the most common mental disorder following stroke; however, little is known about its pathogenesis. We investigated the predictive value and mutual relationship of psychological factors such as self-efficacy and social support and known risk factors such as pre-stroke depression, activities of daily living (ADL), cognitive functioning, and age for the emergence of depressive symptoms in the acute phase after stroke. Ninety-six ischaemic stroke inpatients residing at a rehabilitation centre completed an interview about 6.5 weeks post-stroke. The interview included demographic data, psychiatric anamnesis, the Barthel Index, Mini-Mental State Examination, Social Support Questionnaire, Generalized Self-Efficacy Scale, Stroke Self-Efficacy Questionnaire, and the Geriatric Depression Scale. A multiple regression analysis was performed to ascertain the predictive value of the factors on depressive symptoms. High self-efficacy, no history of pre-stroke depression, and high levels of perceived social support were the strongest protective factors for depressive symptoms. The influence of cognitive functioning on depressive symptoms was fully mediated by general self-efficacy, and general self-efficacy was a stronger predictor than stroke-specific self-efficacy. Neither ADL nor age significantly predicted depressive symptoms. Our findings suggest that consideration of self-efficacy and perceived social support in the inpatient rehabilitation setting may help prevent PSD.