Childhood sexual abuse (CSA) continues to be a public health challenge. The prevalence of experiencing CSA is higher among men who have sex with men (MSM) than the general population. CSA has been linked to compulsive sexual behavior (CSB) among varying populations but has not been examined among MSM who were newly diagnosed with HIV. Therefore, the aims of this study were to assess the direct association between CSA and CSB among newly diagnosed MSM living with HIV, and to identify the potential mediating roles of depressive symptoms and emotion regulation in the association between CSA and CSB. The study was a secondary data analysis using data obtained from 2012 to 2017 from two community HIV clinics in New York City (n = 202). CSA was operationalized with questions asking about sexual abuse during childhood/adolescence. CSB was measured using the 13-item Compulsive Sexual Behavior Inventory (CSBI). Depressive symptoms were measured using the 20-item Centers for Epidemiologic Studies Depression (CES-D) scale and emotion regulation was measured using a 36-item Difficulties in Emotion Regulation Scale (DERS). Path analysis was conducted to determine the mediating role of depressive symptoms and emotion regulation in the association between CSA and CSB. There was a statistically significant association between CSA and CSB (β = 0.160; p = 0.019). There were statistically significant indirect associations between CSA, depressive symptoms, emotion regulation, and CSB (depressive symptoms β = 0.0.071; p = 0.010; DERS: β = 0.080; p = 0.006). Depressive symptoms were also correlated with emotion regulation (r = 0.596; p < 0.001). The relationship between CSA and CSB was significantly mediated by depressive symptoms and emotion regulation. Trauma-informed interventions addressing depressive symptoms and difficulties in emotion regulation may help to reduce CSB among MSM living with HIV.