Objectives <p>Compassion is often linked to better mental health, yet its effects may depend on whether it is directed toward oneself or others and on how empathic responses are regulated. This study examined when compassion protects against depression and when it becomes emotionally overwhelming, focusing on compassionate self-responding and affective empathy (personal distress, empathic concern).</p> Method <p>A nationally representative sample of Polish adults (<i>n</i> = 604) completed measures of compassionate self-responding, compassion for others, affective empathy, and depressive symptoms. Consistent with current psychometric debates, self-compassion was operationalized exclusively as compassionate self-responding. Structural equation modeling tested a parallel mediation model with personal distress and empathic concern as mediators.</p> Results <p>Compassionate self-responding was associated with lower personal distress, which predicted lower depressive symptom severity. Compassion for others showed a dual pattern: it was positively related to empathic concern (linked to lower depression) and to personal distress (linked to higher depression). Personal distress was the strongest mediator for both compassionate self-responding and compassion for others. Direct effects of compassionate self-responding on depression were small after accounting for affective empathic processes.</p> Conclusions <p>Compassion appears protective when it reduces self-focused emotional reactivity but may increase emotional burden when it heightens personal distress. Distinguishing compassionate self-responding from uncompassionate self-relating and separating empathic concern from personal distress helps clarify mixed findings and highlights affect regulation as a key mechanism linking compassion and depression.</p> Preregistration <p>This study is not preregistered.</p>