Social stigma is common among men who have sex with men (MSM) across Sub-Saharan Africa, and may influence risks for HIV and sexually transmitted infections (STIs) via its association with depression. We conducted a cross-sectional study of 530 MSM in Lesotho accrued via respondent-driven sampling. Using generalized structural equation models we examined associations between stigma, social capital, and depression with condom use and testing positive for HIV/STIs. Depression was positively associated with social stigma experienced or perceived as a result of being MSM. In contrast, increasing levels of social cohesion were negatively associated with depression. Social stigma was associated with testing positive for HIV; however, this association did not appear to be mediated by depression or condom use. These data suggest a need for integrated HIV and mental health care that addresses stigma and discrimination and facilitates positive social support for MSM.