The number of physical and mental problems caused by occupational accidents and diseases increases every year. To control them, the safety climate at work is a recognized critical factor. However, a widely applicable model to capture the safety climate for various industries and organizations is lacking. This study proposes a theoretical model to measure the direct and indirect effects of safety climate on workers' physical and mental health, mediated by job satisfaction, in the construction sector. We propose a multidimensional construct of safety climate, considering the most salient factors from the literature, and including psychological capital as a new factor. Using data from the last wave of the European Working Conditions Survey (2015) in Spain, the proposed model was validated using structural equation modeling. Our findings suggest that to further improve the mental health of construction workers, work-life balance and job rewards and compensation must be prioritized along with safety climate. As for physical health, safety climate and work-life balance are crucial. Finally, we provide some recommendations for construction company managers based on a ranking of all the factors affecting the safety climate and the workers' health.