(1) Background: Men who have sex with other men (MSMs) are at high risk of being infected by the human immunodeficiency virus (HIV) in western China. Pre-exposure prophylaxis (PrEP) is an efficient way to prevent HIV transmission. However, adherence is the most vital determinant factor affecting PrEP effectiveness. We conducted a study based on the Health Belief Model to explore factors that predict adherence to PrEP among a cohort of 689 MSMs in western China. (2) Methods: We assessed perceived susceptibility, severity, benefits, barriers, self-efficacy, cues to action, and HIV-preventive behavior through a cross-sectional survey. (3) Results: PrEP self-efficacy was directly associated with PrEP behaviors (β = 0.221, p < 0.001), cues to action were directly associated with PrEP behaviors (β = 0.112, p < 0.001), perceived benefits were directly associated with PrEP behaviors (β = 0.101, p < 0.001), and perceived susceptibility was directly associated with PrEP behaviors (β = 0.117, p = 0.043). (4) Conclusion: Medication self-efficacy, perceived susceptibility, and cue to action structures are predictors of the MSMs’ HIV-preventive behavior in western China. These results will provide theoretical plans for promoting PrEP adherence in MSMs.