This research examined whether a sense of belonging in the community and sexual orientation were associated with depression among men. Australian heterosexual (n = 136) and gay (n = 137) men were recruited through a variety of media, including newspapers, radio, and email, and directly at public events and in the street. Responses on the Sense of Belonging Instrument and the Depression, Anxiety, Stress Scales indicated that gay men reported lower levels of sense of belonging to the community and higher levels of depression compared with heterosexual men. Results revealed that sense of belonging to the community mediated the relation between sexual orientation and depression. The findings did not support the additive or moderation models. The results imply that, for the mental health of gay men to improve, their sense of belonging needs to increase but that a reduction in the level of homophobia in the general community would seem necessary for this to occur.