Background Cardiac rehabilitation (CR) is a multicomponent intervention to reduce adverse outcomes from coronary artery disease, but its mechanisms are not fully understood. The aims of this study were to examine the impact of CR on survival and cardiovascular risk factors, and to determine potential mediators between CR attendance and reduced mortality. Methods and Results A retrospective mediation analysis was conducted among 11 196 patients referred to a 12‐week CR program following an acute coronary syndrome event between 2009 and 2019. A panel of cardiovascular risk factors was assessed at a CR intake visit and repeated on CR completion. All‐cause and cardiovascular mortality were ascertained via health care administrative data sets at mean 4.2‐year follow‐up (SD, 2.81 years). CR completion was associated with reduced all‐cause (adjusted hazard ratio [HR], 0.67 [95% CI, 0.54–0.83]) and cardiovascular (adjusted HR, 0.57 [95% CI, 0.40–0.81]) mortality, as well as improved cardiorespiratory fitness, lipid profile, body composition, psychological distress, and smoking rates ( P <0.001). CR attendance had an indirect effect on all‐cause mortality via improved cardiorespiratory fitness ( ab =−0.006 [95% CI, −0.008 to −0.003]) and via low‐density lipoprotein cholesterol ( ab =−0.002 [95% CI, −0.003 to −0.0003]) and had an indirect effect on cardiovascular mortality via cardiorespiratory fitness ( ab =−0.007 [95% CI, −0.012 to −0.003]). Conclusions Cardiorespiratory fitness and lipid control partly explain the mortality benefits of CR and represent important secondary prevention targets.