Care‐giving burden and internalised stigma are prevalent among family caregivers of people diagnosed with schizophrenia. Internalised stigma has been regarded as a source of care‐giving burden. But it remains unclear if high levels of internalised stigma directly contribute to an increased risk of care‐giving burden or if the effects could be buffered by psychological factors. This cross‐sectional study was to investigate the relationship between internalised stigma and care‐giving burden, and to determine the mediating effects of coping styles and social support. Data were collected from 344 Chinese family caregivers of adults diagnosed with schizophrenia in a psychiatric outpatient department of a tertiary hospital in Changsha, Hunan between April and August 2018. A self‐reported questionnaire was used to collect data anonymously. Instruments included the Simplified Coping Style Questionnaire, the Multidimensional Scale of Perceived Social Support, the Internalized Stigma of Mental Illness Scale and the Caregiver Burden Inventory. Data analysis was conducted using descriptive statistics, the Spearman correlation and regression analysis to estimate direct and indirect effects using bootstrap analysis. Results showed that internalised stigma, social support and passive coping were significant correlates of care‐giving burden; social support partially mediated the relationship between internalised stigma and care‐giving burden; active coping did not show impacts on internalised stigma and care‐giving burden. This study provided social workers and healthcare providers with a better understanding of the development of care‐giving burden. Comprehensive interventions should be designed to provide supportive resources and reduce the possibilities of internalisation of stigma and passive coping, to alleviate care‐giving burden.