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Though research has demonstrated that gay men suffer stress-related mental health disparities compared with heterosexuals, little is known about factors that protect gay individuals from poor mental health and that buffer them in the face of minority stress. Using a daily diary approach, the current study examined three factors that may protect individuals from poor mental health: social support from friends, social support from family, and gay identity. Caucasian gay men (N = 89) completed a study purported to examine the everyday life experiences of gay individuals. Participants completed baseline measures of social support from friends and family, gay identity (i.e., sense of belonging to the gay community), and depression. Participants then completed measures of minority stress and negative affect at the end of each day for 14 consecutive days. Though all three predictors were negatively related to depression at baseline, only friend support remained significant when all predictors were included simultaneously. For the daily data, hierarchical linear modeling was used to examine the moderating role that each of the predictors served in the daily minority stress-mental health link. Only friend support moderated the link. Those with more friend support experienced little change in negative affect from average to above-average minority stress days. However, those with less support experienced increases in negative affect from average to above-average minority stress days. The research highlights the importance of friend support for coping, while also suggesting that predictors of minority stress may differ when stress is assessed retrospectively versus daily.