Research conducted among men who have sex with men (MSM) in high-income countries has demonstrated that negative mental health is one of the significant drivers of HIV infection, and few studies have examined the status of mental health among MSM in China. We sought to describe depression and loneliness and identify their correlates among Chinese MSM. A cross-sectional study was conducted among HIV-negative or unknown status MSM in 2014. Time-location sampling and online convenience sampling methods were employed. Depression was measured via a short version of CES-D (CES-D 10). Loneliness was measured from a single item in CES-D 10. Multivariable logistic regressions were conducted to identify independent correlates of depression and loneliness. A total of 507 individuals participated in the study. Of them, 26.8 and 35.5% reported moderate-to-severe symptoms of depression and feeling lonely, respectively. Depressed participants were more likely to have a sense of hopelessness for the future (AOR 3.20, 95% CI 1.90, 5.20) and report higher levels of internalized homophobia (AOR 2.32, 95% CI 1.47, 3.67). Participants who reported feeling lonely were more likely to have had condomless receptive anal intercourse in the past 6 months (AOR 1.67, 95% CI 1.08, 2.58) and feel hopeless for the future (AOR 2.40, 95% CI 1.60, 3.70). MSM in China have significant rates of depression and loneliness. HIV prevention efforts should address the mental health needs of Chinese MSM such as providing safe environments for social support and role models.