With the wide use of antiretroviral therapy in people living with HIV (PLWH), the mortality and morbidity rates among this community are dramatically decreasing. However, sleep disorder is still one of the prominent health issues among PLWH, and it lowers their quality of life. Although we already know the potential biological pathway that links poor sleep quality among PLWH, the potential contribution of the psychosocial pathway (e.g., stigma) is far from understood. In this study, we aimed to explore the potential serial mediating effects (HIV stigma-loneliness-depression-sleep quality) and potential moderating effects of perceived social support. We recruited a consecutive sample of 139 participants from voluntary counseling testing (VCT) clinics of Beijing Youan Hospital and participant referrals. Then, we used serial mediation models and moderated serial mediation models to fit our data. We found significant serial mediation effects between three types of HIV stigma (enacted, anticipated, and internalized) and sleep quality via depression and loneliness. Perceived social support also significantly moderated this serial mediation between enacted stigma, internalized stigma, and sleep quality. Our results highlight the potential role of perceived social support in moderating the negative effects of enacted and internalized stigma on sleep quality and identify potential psychosocial pathways.