Objective: We examined the mediating roles of coping, depression, anxiety, and encountering difficult sexual situations in explaining the association between stigma against men who have sex with men (MSM) and HIV risk. Methods: We conducted path analyses using longitudinal data collected from 493 Chinese MSM in Beijing at baseline, 6 months, and 12 months from 2011 to 2013. Results: MSM stigma, specifically anticipations of stigma, had a marginally significant, protective total effect on unprotected anal intercourse at 12 months. This overall association, however, was the byproduct of 5 significant, indirect associations (3 risk enhancing, 2 protective) that routed through coping, anxiety, and difficult sexual situations. Of note, heavier use of avoidant coping principally had a protective effect on risk behavior by decreasing difficult sexual situations. Conclusions: Interventions to reduce avoidant coping would be an important tool for improving the emotional well-being of Chinese MSM. Such interventions, however, must be paired with biomedical or behavioral HIV prevention strategies to ensure that their benefit is not undermined by unintended increased HIV transmission risk in response to reduced social isolation among MSM.