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Objective This study aims to explore the relationships of family functioning, general well-being, and exercise with psychological distress. Furthermore, we investigated the special roles of general well-being and exercise on the association between family functioning and psychological distress. Methods Of 769 end-stage renal disease (ESRD) patients participated in the cross-sectional study which consisted of the 12-item General Health Questionnaire (GHQ-12), the Family APGAR Scales, and the General Well-Being Schedule. The collected data were analyzed using multiple linear regression analysis and path analysis. Results The prevalence of psychological distress was 72.3%. Family functioning, general well-being and exercise were associated factors of psychological distress (p<0.05). The indirect effect of family functioning on psychological distress was partially mediated by general well-being (Effect=-0.08, 95% CI=-0.11, -0.04). In addition, the effect of family functioning on general well-being was moderated by exercise (Index=-0.092, SE=0.033, 95% CI=-0.159, -0.029). Conclusion The prevalence of psychological distress among ESRD patients was high. Family functioning, general well-being and exercise were associated with psychological distress. Family functioning could affect psychological distress partially by affecting general wellbeing. Furthermore, exercise had a significant moderating effect on the relationship between family functioning and general well-being.