Sick leave and pay should be more flexible, so people with poor mental health can avoid severe financial hardship, a charity has said.
The Money and Mental Health Policy Institute said preventative, part-time sick leave would help those facing mental health difficulties.
Greater access to insurance products could protect the income of those with pre-existing conditions, it added.
Its report suggested mental health cost UK employers up to £42bn a year.
The research found that 2.3 million people in the UK were experiencing mental health problems that affected the amount of paid work they could do.
One of those was Sarah James, 58, who said she had had to take time off on three occasions, owing to periods of serious ill-health.
Stress left her in a manic state, and she said she had emerged with "massive amounts of debt" - on one occasion totalling £16,000. This had left her struggling to afford food and pay bills.
She said it had been "a challenge to get back to work", but her continuous service in local authority employment had allowed her to build up a sick-pay safety net, which had helped.
The institute said that tweaks to the benefits system, more flexible sick pay and phased returns to work would all help workers who found themselves in a similar situation as Mrs James.
Helen Undy, director of the institute, said: "For thousands of people in the UK, sick days are a luxury they just can't afford. Many with mental health problems are finding themselves too ill to work and too broke not to - choosing between causing harm to their mental health by working, or harm to their finances by taking time to recover.
"It's a vicious cycle, ultimately forcing many out of the workplace entirely. We want to see the government and employers taking urgent steps to improve sick pay, access to benefits and other income protection, so that a mental health diagnosis is not the first step out of the workforce."
The institute's report suggested sickness absence from the workplace due to mental health problems cost £8bn, with a further £1bn lost to the self-employed.
Mental health problems could lead to longer periods of sickness absence. A survey of people who had taken time off work owing to a mental health problem found that 76% of them had taken more than a month off at least once.
Some 300,000 people with a long-term mental health condition lost their job each year, it added.
A survey of 44,000 people carried out by the mental health charity Mind found that only half of those who had experienced problems with stress, anxiety or low mood had talked to their employer about it.
A recent poll by the Institute of Directors found fewer than one in five firms offered mental health training for managers.
Poor relationships with line managers, along with workload, have the biggest negative impact on employees' mental health, the survey found - closely followed by poor relationships with colleagues.