Introduction Gay men have high levels of anxiety and depressive symptoms. The objective of this study was to examine the reciprocal influence of coping and internalized homophobia on these symptoms. Method We conducted an online cross-sectional study with 154 self-identified gay men. Four variables were measured: anxiety, depressive symptoms, internalized homophobia, and coping. First, correlations were conducted to examine the associations between all variables. Second, a network analysis was carried out to study all these relationships. Results Our results revealed that anxiety and depression were indirectly related to internalized homophobia, via two strategies: denial and self-blame, and that anxiety and denial played a central role. Conclusion Denial appears to be an interesting therapeutic target for gay men with high levels of anxiety and/or depressive symptoms.