Objective: Lesbian, gay, bisexual, and queer (LGBQ)-affirmative cognitive behavioral therapy (CBT) focused on minority stress processes can address gay and bisexual men’s transdiagnostic mental and behavioral health concerns. Identifying moderators of treatment outcomes may inform the mechanisms of LGBQ-affirmative CBT and subpopulations who may derive particular benefit. Method: Data were from a clinical trial in which gay and bisexual men with mental and behavioral health concerns were randomized to receive Effective Skills to Empower Effective Men (ESTEEM; an LGBQ-affirmative transdiagnostic CBT; n = 100) or one of two control conditions (n = 154): LGBQ-affirmative community mental health treatment (CMHT) or HIV counseling and testing (HCT). The preregistered outcome was a comorbidity index of depression, anxiety, alcohol/drug problems, and human immunodeficiency virus (HIV) transmission risk behavior at 8-month follow-up (i.e., 4 months postintervention). A two-step exploratory machine learning process was employed for 20 theoretically informed baseline variables identified by study therapists as potential moderators of ESTEEM efficacy. Potential moderators included demographic factors, pretreatment comorbidities, clinical facilitators, and minority stress factors. Results: Racial/ethnic minority identification, namely as Black or Latino, was the only statistically significant moderator of treatment efficacy (B = −3.23, 95% CI [−5.03, −1.64]), t(197) = −3.88, p < .001. Racially/ethnically minoritized recipients (d = −0.71, p < .001), but not White/non-Latino recipients (d = 0.22, p = .391), had greater reductions in comorbidity index scores in ESTEEM compared to the control conditions. This moderation was driven by improvements in anxiety and alcohol/drug use problems. Discussion: Black and Latino gay and bisexual men experiencing comorbid mental and behavioral health risks might particularly benefit from a minority stress–focused LGBQ-affirmative CBT. Future research should identify mechanisms for this moderation to inform targeted treatment delivery and dissemination.