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Supportive counseling and facilitated referrals to support organizations have shown positive effects on mental health and coping with domestic and family violence. However, the reasons why and how such effects are significant remain unknown. The current paper used data from a randomized controlled trial of a psychosocial intervention implemented in Nepal among 140 abused pregnant women. The hypothesized mediating effects of self‐efficacy and social support on mental health and quality of life of abused pregnant women were tested using serial mediation analyses. Significance of parameter estimates and bias‐corrected 95% confidence intervals (CIs) for the indirect effects were generated using bootstrapping. The postintervention changes in self‐efficacy and social support were found to have significant mediating effects on the relationship between the intervention and changes in both mental health and quality of life of participants post intervention. The positive effects on outcomes were seen at follow‐up as well, though to a lesser extent. Further interventions should focus on enhancing abused women's self‐efficacy and social support to ensure their positive mental health and better lives. [ABSTRACT FROM AUTHOR]