Internalized homonegativity has been directly linked to depression among gay men. The aim of the study was to test whether internalized homonegativity is indirectly related to depressive symptoms via a sense of belonging to the broad gay community, gay groups, gay friends, and the general community. A sample of 246 self-identified Australian gay men, aged 18–82 years, completed the Internalized Homophobia Scale, the Psychological subscale of the Sense of Belonging Instrument, the Sense of Belonging Within Gay Communities Scale, and the Centre for Epidemiological Studies Depression Scale. Results indicated that the final model was an excellent fit to the data. Internalized homonegativity was indirectly related to depressive symptoms via sense of belonging to gay groups, with gay friends, and to the general community. Interventions aimed at reducing internalized homonegativity among gay men have the potential to enhance sense of belonging and, in turn, decrease depressive symptoms.