Stigma and discrimination related to sexual minority status are unique stressors associated with mental and physical health concerns among sexual minority individuals. Although some theoretical models propose that the strategies sexual minorities apply to cope with these particular stressors can mediate and/or moderate their impact on mental health outcomes, only a few studies have examined this proposition empirically, typically using measures of broad coping strategies that are not discrimination-specific. A nonprobability sample of 354 self-identified lesbian, gay, and bisexual (LGB) individuals completed self-report measures of perceived discrimination experiences, psychological distress, and discrimination-specific coping strategies used, including education/advocacy, internalization, drug and alcohol use, resistance, and detachment strategies. Perceived discrimination explained levels of depression, anxiety, and stress after controlling for income, education, and race. Drug and alcohol use mediated the relationship between discrimination and depression, anxiety, and stress symptoms. Internalization mediated the relationship between discrimination and anxiety symptoms and moderated the relationship between discrimination and depression and anxiety. The education/advocacy, resistance, and detachment strategies played no clear mediator or moderator roles in the relationship between discrimination and psychological distress. Psychological interventions that assist sexual minority clients in the development of effective coping skills, such as avoidance of drug and alcohol use for coping and internalization may reduce the harm associated with the experience of stigma and discrimination.