Studies on the effect of procedural justice on psychological distress present conflicting results. Drawing on instrumental and relational perspectives of justice, we test the hypothesis that the perception of procedural justice influences the level of workers’ psychological distress. Using a number of validated instruments to collected data from 659 workers in three call centers, we use OLS regressions and Hayes’ PROCESS tool to show that the perception of procedural justice has a direct, unique, and independent effect on psychological distress. The perception of procedural justice has no instrumental role, the key mechanism being the relational role, suggesting that perceived injustice influences psychological distress because it threatens self-esteem. Distributive justice perceptions (recognition, promotions, job security) are not associated with psychological distress, calling into question Siegrist’s model. Our findings suggest that perceived procedural justice provides workers better evidence of the extent to which they are valued and appreciated members of their organizations than do perceptions of distributive justice. The results highlight the greater need for workers to be valued and appreciated for who they are (consideration and esteem), rather than for what they do for their organization (distributive justice of rewards).