Numerous empirical studies have investigated the relationships between cardiovascular diseases (CVD) and patients' psychological well-being, with a focus almost exclusively on its dark side. Very little is known on the impact of illness severity on both negative and positive indicators of patients' well-being, as well as on the psychosocial variables that may mediate this association. Aim of the study was to investigate the impact of illness severity on depression as well as on health satisfaction and life satisfaction of patients undergoing a cardiovascular rehabilitation. It also aimed at testing the mediation of illness perception and self-efficacy beliefs in managing cardiac risk factors. The study involved 172 patients (mean age = 66.43 years; SD = 9.99 years; 76.2% men). Illness severity was measured in terms of left ventricular ejection fraction at discharge from the cardiology department, whereas all psychological dimensions were assessed one week later. Results showed significant relationships among illness severity, depression and health satisfaction that were fully mediated by illness perception and self-efficacy beliefs, but not significant relation between disease severity and life satisfaction (χ2 (1) = 2.30, p = n.s.). Overall, findings underline the importance of working on illness perception and self-efficacy beliefs to contrast depression and to improve health and life satisfaction in patients with CVD.