Background: Psychosocial work characteristics are associated with all-cause long-term sickness absence (LTSA). Aims: This study investigated whether psychosocial work characteristics such as higher workload, faster pace of work, less variety in work, lack of performance feedback, and lack of supervisor support are prospectively associated with higher LTSA due to mental disorders. Methods: Cohort study including 4877 workers employed in the distribution and transport sector in The Netherlands. Psychosocial work characteristics were included in a logistic regression model estimating the odds ratios (OR) and 95% confidence intervals (CI) of mental LTSA during 2-year follow-up. The ability of the regression model to discriminate between workers with and without mental LTSA was investigated with the area under the receiver operating characteristic curve (AUC). Results: Tow thousand seven hundred and eighty-two (57%) workers were included in the analysis; 73 (3%) had mental LTSA. Feedback about one’s performance (OR = 0.82; 95% CI 0.70–0.96) was associated with mental LTSA. A prediction model including psychosocial work characteristics poorly discriminated (AUC = 0.65; 95% CI 0.56–0.74) between workers with and without mental LTSA. Conclusions: Feedback about one’s performance is associated with lower rates of mental LTSA, but it is not useful to measure psychosocial work characteristics to identify workers at risk of mental LTSA.