Few studies compared HIV-related risk behaviors between cities with different sociocultural environments among men who have sex with men (MSM). This study investigated the prevalence of unprotected anal intercourse (UAI) and associated individual and socio-cultural factors among Chinese MSM in Hong Kong and Shenzhen in Mainland China, which were proximal to each other but experienced different socioeconomic developments. Amongst all the 535 participants, 40.2% had had UAI. Significant factors of UAI among Shenzhen MSM included being able to find someone to share one's sexual orientation, disclosure of sexual orientation to family members, HIV risk perception, and use of alcohol or substances (adjusted OR ranged from 2.37 to 4.91), whilst disclosure of sexual orientation to family members was the only significant factor among Hong Kong MSM (adjusted OR = 1.64). Geographic variations in factors associated with UAI were observed. Future research and interventions need to take this into account.