The stigma associated with HIV/AIDS poses a psychological challenge to people living with HIV/AIDS. We hypothesized that that the consequences of stigma-related stressors on psychological well-being would depend on how people cope with the stress of HIV/AIDS stigma. Two hundred participants with HIV/AIDS completed a self-report measure of enacted stigma and felt stigma, a measure of how they coped with HIV/AIDS stigma, and measures of depression and anxiety, and self-esteem. In general, increases in felt stigma (concerns with public attitudes, negative self-image, and disclosure concerns) coupled with how participants reported coping with stigma (by disengaging from or engaging with the stigma stressor) predicted self-reported depression, anxiety, and self-esteem. Increases in felt stigma were associated with increases in anxiety and depression among participants who reported relatively high levels of disengagement coping compared to participants who reported relatively low levels of disengagement coping. Increases in felt stigma were associated with decreased self-esteem, but this association was attenuated among participants who reported relatively high levels of engagement control coping. The data also suggested a trend that increases in enacted stigma predicted increases in anxiety, but not depression, among participants who reported using more disengagement coping. Mental health professionals working with people who are HIV positive should consider how their clients cope with HIV/AIDS stigma and consider tailoring current therapies to address the relationship between stigma, coping, and psychological well-being.