Abstract This aim of this study was to analyze levels of resilience, depression and self-efficacy among Brazilian nursing professionals during the COVID-19 pandemic. We conducted an analytical cross-sectional study between October and December 2020. Student’s t test, analysis of variance and multiple linear regression were used to investigate the impact of two main factors (Resilience and Self-efficacy) on depression. A total of 8,792 nursing professionals participated in the study; 5,124 (58.8%) had low levels of resilience. The mean overall score for Depression was 0.74, ranging from 0.59 to 0.80, while the mean overall score for Self-efficacy was 0.68, ranging from 0.56 to 0.80. The variable that had the strongest impact on depression levels was Resilience, explaining 6.6% of the outcome (p < 0.001, AdjustedR2 = 0.066). In general, respondents had low levels of resilience and self-efficacy and showed high mean depression scores. Level of resilience had an impact on depression. The findings reveal an urgent need for actions to promote the psychological health of nursing professionals working in crisis situations such as pandemics.