ABSTRACT We tested whether sexual orientation disparities in depressive symptoms are partially explained by a path through attachment anxiety or avoidance leading to ineffective coping strategies. A convenience sample of 1290 individuals from two reliable data collection platforms (Credamo and Wenjuanxing) in China were included. Structural equation modeling was performed, with sexual orientation treated as the independent variable, ineffective coping strategies, attachment avoidance and anxiety as mediators, and depressive symptoms as the dependent variable. We found that lesbian, gay and bisexual (LGB) individuals reported higher levels of attachment anxiety and avoidance than heterosexual individuals, regardless of sex, with Cohen’s ds ranging from 0.25 to 0.76. For both sexes, LGB individuals reported more depressive symptoms than heterosexual individuals, with total effects (standardized regression coefficients) ranging from 0.22 to 0.26. More depressive symptoms reported by LGB individuals compared to heterosexual individuals were partially explained by a path involving attachment avoidance or anxiety leading to ineffective coping strategies, with indirect effects ranging from 0.04 to 0.09 (small effect sizes). Overall, our results suggest that psychological factors, such as the cognitive or emotional representations of self and others, as well as ineffective coping strategies, may partially explain sexual orientation disparities in depressive symptoms.