Fibromyalgia syndrome (FMS) and osteoarthritis (OA) are two painful chronic conditions. Cronan and Bigatti compared women with FMS and OA and found that women with FMS had significantly worse health status. The present study is an extension of the Cronan and Bigatti study. In order to identify the mechanism responsible for differences in health status between FMS and OA, a moderated mediation approach was used. The effects of knowledge about the illness (explanatory variable), self-efficacy (mediator), and depression (moderator) on health status were examined. Knowledge about the illness is often essential for patients with chronic conditions because it can improve patients' ability to manage their conditions successfully. Intervention studies that have incorporated a knowledge or education component have produced mixed results in the FMS population, but have improved functional outcomes in OA. Additionally, self-management is related to self-efficacy. Higher levels of self-efficacy were related to better health outcomes in both FMS and OA patients. Findings have also demonstrated that self-efficacy is influenced by depression in both populations. In FMS patients, the relationship between knowledge and health status may be influenced by self-efficacy and depression through moderated mediation. Participants were 238 members of a health maintenance organization who were assigned to control conditions in two different intervention studies. Only control group participants were studied in order to avoid confounding with intervention effects. There were 169 people diagnosed with FMS and 69 with OA. Data from the 1-year time point were used for all measures, and all scores were standardized. The moderated mediation analysis was performed according to the analytic strategies provided by Muller, Judd, and Yzerbyt. Each step of the moderated mediation model was performed three times: (1) once with the FMS data, (2) once with the OA data, and (3) once with the addition of a group variable to examine whether people with FMS and OA differed at each step of the moderated mediation model. Overall, the moderated mediation model did not hold in any of the three instances. However, the results provided implications for the development of interventions. In FMS, it is important to consider a hierarchical approach to treatment, which involves addressing depression symptoms, self-efficacy, and factors associated with increasing age. Interestingly, depression was found to moderate the effects of self-efficacy in FMS, implying that depression should be the first level of the treatment hierarchy. In OA, depression, self-efficacy, and aging were also significant and are important to address in treatment programs. Lastly, the third moderated mediation model demonstrated no group differences between FMS and OA in any of the steps of the analysis. As in the first two models, the significant relationships between depression, self-efficacy, and increasing age and health status suggest that these factors may be important predictors of health outcomes in chronic pain populations. The findings imply that the strengths of the interrelationships among knowledge, self-efficacy, and depression and health status were not consistent between FMS and OA. Although FMS and OA are both chronic pain conditions, separate interventions should be developed.