Sense of belonging to the general and broader gay communities has been shown to be beneficial for gay men’s mental health. This research investigated the interrelations between sense of belonging to three forms of gay community (the broader gay community, gay groups, and gay friends), sense of belonging to the general community, and depressive symptoms by examining a path model. A community sample of 177 gay men, aged 18 to 79 years, completed the Sense of Belonging Instrument–Psychological subscale, the Centre for Epidemiological Studies–Depression Scale, and the Sense of Belonging within Gay Communities Scale. The model provided excellent fit to the data in which sense of belonging to the general community mediated the relationships between a sense of belonging to gay groups and with gay friends and depressive symptoms. Results imply that enhancing gay men’s sense of belonging to gay groups and with gay friends is likely to be associated with fewer depressive symptoms, by virtue of their enhanced sense of belonging to the general community.