Proximal minority stressors (i.e., internalized homonegativity, anticipation of rejection, and concealment of sexual identity) lead to depression and anxiety. General psychological factors mediate the association of proximal stressors with depression and anxiety. Based on this, the present study aimed to investigate the sequential mediating roles of shame and forgiveness of self on the relations of proximal stressors with depression and anxiety in a sample of self-identified gay men in Turkey (N = 200). The findings revealed that proximal stressors significantly predicted depression and anxiety indirectly through shame and self-forgiveness. Thus, the link between minority stress and shame should be considered in clinical practice, and self-forgiveness should be integrated into intervention programs to eliminate the negative impacts of shame on depression and anxiety among this population. Limitations and directions for future studies are presented.