Human immunodeficiency virus (HIV) carries a high level of stigma to the HIV-infected individuals and their family members. Children of HIV-infected parents in China are particularly affected. The present study examined the relationship between associative stigma, self-esteem, optimism, anxiety and depression among 195 children of HIV-infected parents in rural China. Findings showed that more than one-third (35.4 %) of the participants scored higher than cut-off for depression; and 23.6-67.7 % of them scored higher than cut-off for different types of anxiety disorders. Structural equation modelling revealed that associative stigma had a significant negative relationship on self-esteem and optimism, which were associated with higher levels of depression and anxiety. The indirect effects of associative stigma on depression and anxiety were significant. The overall model showed a satisfactory fit. Findings suggest that associative stigma has a significant negative impact on mental health of children affected by HIV. Interventions to reduce their associative stigma are warranted.