Sexual minority men are at greater risk of depression and suicidality than heterosexuals. Stigma, the most frequently hypothesized risk factor for this disparity, operates across socioecological levels-structural (e.g., laws), interpersonal (e.g., discrimination), and individual (e.g., self-stigma). Although the literature on stigma and mental health has focused on interpersonal and individual forms of stigma, emerging research has shown that structural stigma is also associated with adverse mental health outcomes. However, there is limited data on whether changes in structural stigma, such as when a stigmatized person moves to a lower stigma context, affect mental health, and on the mechanisms underlying this association. To address these questions, we use data from the 2017/18 European Men-who-have-sex-with-men Internet Survey (n = 123,428), which assessed mental health (i.e., Patient Health Questionnaire) and psychosocial mediators (i.e., sexual orientation concealment, internalized homonegativity, and social isolation). We linked these data to an objective indicator of structural stigma related to sexual orientation-including 15 laws and policies as well as aggregated social attitudes-in respondents' countries of origin (N = 178) and receiving countries (N = 48). Among respondents who still live in their country of birth (N = 106,883), structural stigma was related to depression and suicidality via internalized homonegativity and social isolation. Among respondents who moved from higher-to-lower structural stigma countries (n = 11,831), longer exposure to the lower structural stigma environments of their receiving countries was associated with a significantly: 1) lower risk of depression and suicidality; 2) lower odds of concealment, internalized homonegativity, and social isolation; and 3) smaller indirect effect of structural stigma on mental health through these mediators. This study provides additional evidence that stigma is a sociocultural determinant of mental health. (PsycInfo Database Record (c) 2021 APA, all rights reserved).