HIV-positive men who have sex with men (HIVMSM) face severe stigma and high levels of stressors, and have high prevalence of mental health problems (e.g., depression and anxiety). Very few studies explored the role of positive psychological factors on mental health problems among HIVMSM. The present study investigated the prevalence of two mental health problems (anxiety and depression), and their associated protective (gratitude) and risk (enacted HIV-related stigma, and perceived stress) factors among HIVMSM in China. A cross-sectional survey was conducted among 321 HIVMSM in Chengdu, China, by using a structured questionnaire. Over half (55.8%) of the participants showed probable mild to severe depression (as assessed by the Center of Epidemiologic Studies Depression scale); 53.3% showed probable anxiety (as assessed by the General Anxiety Disorder scale). Adjusted logistic regression models revealed that gratitude (adjusted odds ratio (ORa = 0.90, 95% confidence intervals (95% CI) = 0.86-0.94) was found to be protective, whilst perceived stress (ORa = 1.17, 95% CI = 1.12-1.22) and enacted stigma (ORa = 7.72, 95% CI = 2.27-26.25) were risk factors of depression. Gratitude (ORa = 0.95, 95% CI = 0.91-0.99) was also found to be protective whilst perceived stress (ORa = 1.19, 95% CI = 1.14-1.24) was a risk factor of anxiety. Gratitude did not moderate the associations found between related factors and poor mental health. It is warranted to promote mental health among HIVMSM, as depression/anxiety was highly prevalent. Such interventions should consider enhancement of gratitude, reduction of stress, and removal of enacted stigma as potential strategies, as such factors were significantly associated with depression/anxiety among HIVMSM.