Objective Depression was common during coronavirus disease-2019 (COVID-19) pandemic, while the association of perceived stress with depression among vaccinated healthcare workers has not been investigated. This study aimed to address this issue. Methods We included a total of 898 fully vaccinated healthcare workers during the outbreak of severe acute respiratory syndrome coronavirus 2 Delta variant in Nanjing, 2021. Depression was ascertained by Patient Health Questionnaire-9, with a cut-off score of ≥5 indicative of mild-to-severe depression. Perceived stress, resilience, and compassion fatigue were assessed by Perceived Stress Scale-10, Resilience Scale-25, and Professional Quality of Life Scale version-5, respectively. Logistic regression analyses were used to estimate the odds ratio (OR) and 95% confidence interval (CI), along with subgroup and mediation analyses. Results The prevalence of mild-to-severe depression was 41.1% in vaccinated healthcare workers. The odd of mild-to-severe depression was increased with higher perceived stress. Compared with vaccinated healthcare workers with the lowest tertile of perceived stress, those with the highest tertile had increased odds of mild-to-severe depression by 120% (OR 2.20, 95% CI 1.46 to 3.31) after multivariable-adjustment. However, perceived stress was not associated with mild-to-severe depression in vaccinated healthcare workers with strong resilience, but was in those with weak resilience (pinteraction=0.004). Further analysis showed that compassion fatigue mediated the relationship between perceived stress and mild-to-severe depression, with a mediating effect of 49.7%. Conclusion Perceived stress was related to an increased odd of mild-to-severe depression in vaccinated healthcare workers during COVID-19 pandemic, and this relationship might be explained by compassion fatigue.