Poor mental health was prevalent among HIV positive men who have sex with men (HIVMSM), and a tremendous burden extents on their families and society. The present study investigated the prevalence of depression and its relationship with social support, HIV self-stigma, positive affect and negative affect among 321 HIVMSM in Chengdu, China. The study was conducted during July 2013 through October 2013. Findings showed that 55.8 % of the participants had mild to severe depression. The results of structural equation modeling showed that social support and positive affect were negatively associated with depression, while HIV self-stigma and negative affect were positively associated with depression. Social support, positive affect, and negative affect mediated the association between HIV self-stigma and depression. The hypothesized model had a satisfactory fit. Interventions improving mental health among this population are warranted.