Sense of belonging has been regarded as important for mental health. This study investigated sense of belonging to the general community and sense of belonging to the gay community as predictors of depression among self-identified Australian gay men (N = 137). Participants completed the Psychological subscale of the Sense of Belonging Instrument and the Depression subscale of the Depression Anxiety Stress Scales. Results offered support for the additive model and suggested that sense of belonging to the general community partially mediated the relation between sense of belonging to the gay community and depression, as well as the reverse, that sense of belonging to the gay community partially mediated the relation between sense of belonging to the general community and depression. Findings failed to support a moderation effect model. Results indicate that increasing a sense of belonging to both communities will be associated with a decrease in levels of depression reported by gay men.