PurposeAlthough discriminatory laws, policies, and public attitudes (i.e., structural stigma) are linked to adverse mental health outcomes among sexual and gender minority (SGM) populations, little attention has been paid to protective factors, such as community participation, about which inconsistencies exist whether it ameliorates or exacerbates mental health burdens. Thus, we examined the mediator roles of identity disclosure and victimization and the moderator role of structural stigma in the association of community participation with depression.MethodsData from the EU-LGBTI-II survey assessing community participation, identity disclosure, victimization, and depression among sexual minority men (n = 62,939), women (n = 38,976), and gender minority adults (n = 15,845) in 28 European countries were used. Structural stigma was measured as discriminatory legislation, policies, and societal attitudes using publicly available data.ResultsFindings showed that community participation predicted lower and higher levels of depression through identity disclosure and victimization, respectively. For sexual minority men and women, structural stigma moderated the indirect effect through identity disclosure, with a larger effect in higher structural stigma countries. Only for sexual minority men, the indirect effect through victimization was also moderated, with a larger effect in high-stigma countries. For gender minorities, no moderation effect was found.ConclusionsCommunity participation is differentially linked to depression through identity disclosure and victimization, and as a function of structural stigma. It can be a double-edged sword, especially for sexual minority men in high-stigma countries, who are expected to pay the price while enjoying its benefits, highlighting the targets and considerations for interventions.