Men who have sex with men (MSM) often experience depressive symptoms. However, the potential mechanisms resulting in depressive symptoms are not fully understood. Here, we explore possible mechanisms behind the associations between sexual minority stigma (SMS), sexual orientation concealment (SOC), and social support (SS) with depressive symptoms among MSM. Data (N = 715) used in the study were from the baseline survey of a 3-year cohort study in China. Computer-assisted self-interview was used to collect data. Mediation and moderated mediation modeling analysis were employed to address the question. It was found that SOC partially mediated the association between SMS and depressive symptoms (indirect effect = 0.11, 95% CI 0.05-0.17). SS moderated the mediation model by buffering the path from SMS to SOC (β = 0.17, t = 3.18, P = 0.002). These findings suggested that SS might strengthen the association between SMS and depressive symptoms by moderating the pathway between SMS and SOC.