Background: Veterans who identify as lesbian, gay, bisexual, transgender, queer, questioning, and related identities (LGBTQ+) have faced discrimination that puts them at increased risk for depression, anxiety, and suicide. Upstream interventions like the PRIDE in All Who Served program can improve internalized prejudice, suicide attempt likelihood, symptoms of depression, and symptoms of anxiety by addressing minority stress, facilitating social connection, and promoting engagement with the healthcare system. Yet, little is known about who benefits most from these types of services. Methods: Sixty-six US military veterans (Mean age = 47.06, SD = 13.74) provided outcome surveys before and after a 10-week health promotion group for LGBTQ+ individuals at one of 10 Veterans Health Administration (VA) Medical Centers. Coping self-efficacy and key demographic factors were examined as moderators of treatment outcomes. Results: Coping self-efficacy moderated effects across treatment outcomes with those lower in coping self-efficacy beliefs reporting the greatest benefit of the intervention. Reduction in anxiety symptoms was moderated only by problem-solving coping self-efficacy, while suicide attempt likelihood was moderated only by social support. Reduction of internalized prejudice and depression symptoms were moderated by both problem-solving and social support coping self-efficacy, while thought-stopping (a frequent target of traditional cognitive therapies) only moderated internalized prejudice, but not clinical symptom indicators. Most demographic factors (e.g., age, race, gender) did not impact treatment outcomes; however, sexual orientation was significant such that those who identified as bisexual, queer, or something else (e.g., pansexual) had greater reductions in internalized prejudice than their single gender-attracted peers. Conclusion: Individual differences like coping self-efficacy and sexual orientation are rarely considered in clinical care settings when shaping policy or implementing tailored programs. Understanding implications for who is most likely to improve could inform program refinement and implementation of affirming interventions for minoritized people.