Stress management interventions for HIV-positive persons have been designed to enhance coping skills and encourage health-promoting behaviors with the hope of decreasing distress and slowing disease progression. We examined the efficacy of a cognitive behavioral stress management (CBSM) intervention in combination with medication adherence training (MAT) in 130 gay and bisexual men living with HIV infection. Participants were randomized to either a 10-week CBSM+MAT intervention (n = 76) or a MAT-only condition (n = 54). Measures of self-reported adherence, active cognitive coping (i.e., acceptance and positive reinterpretation), avoidant coping (i.e., denial and behavioral disengagement), and depressed mood were examined over the 10-week intervention period. Men in CBSM+MAT reported reductions in depressed mood and denial coping during the 10-week intervention period, but no changes in active cognitive coping or self-reported adherence were observed. Using path analysis, greater reliance on denial coping at baseline was associated with decreased depressed mood at 10 weeks. We also determined that CBSM+MAT may decrease depressed mood by reducing reliance on denial coping over the 10-week intervention period. Although denial may be an effective means of distress reduction in the short term, reliance on this coping strategy may result in a decreased capacity to effectively manage a variety of disease-related stressors in the long term. CBSM+MAT addresses this potentially detrimental pattern by teaching stress reduction skills that may decrease depressed mood via reduced reliance on denial coping.