Purpose: Stepped care (SC), consisting of watchful waiting, guided self-help, problem-solving therapy, and psychotherapy/medication is, compared to care-as-usual (CAU), effective in improving psychological distress. This study presents secondary analyses on subgroups of patients who might specifically benefit from watchful waiting, guided self-help, or the entire SC program. Methods: In this randomized controlled trial, head and neck and lung cancer patients with distress (n = 156) were randomized to SC or CAU. Univariate logistic regression analyses were performed to investigate baseline factors associated with recovery after watchful waiting and guided self-help. Potential moderators of the effectiveness of SC compared to CAU were investigated using linear mixed models. Results: Patients without a psychiatric disorder, with better psychological outcomes (HADS: all scales) and better health-related quality of life (HRQOL) (EORTC QLQ-C30/H&N35: global QOL, all functioning, and several symptom domains) were more likely to recover after watchful waiting. Patients with better scores on distress, emotional functioning, and dyspnea were more likely to recover after guided self-help. Sex, time since treatment, anxiety or depressive disorder diagnosis, symptoms of anxiety, symptoms of depression, speech problems, and feeling ill at baseline moderated the efficacy of SC compared to CAU. Conclusions: Patients with distress but who are relatively doing well otherwise, benefit most from watchful waiting and guided self-help. The entire SC program is more effective in women, patients in the first year after treatment, patients with a higher level of distress or anxiety or depressive disorder, patients who are feeling ill, and patients with less speech problems. Trial: NTR1868.