Men who have sex with men (MSM) are confronted with different health problems. Next to a higher HIV prevalence and a higher reporting of depressive symptoms and other mental health problems, there is also evidence of substance dependence and sexual compulsivity occurring simultaneously. Using a sample of 591 HIV-negative Belgian MSM, we examine the relationships between depressive symptoms and other risk factors of unprotected anal intercourse (UAI) practice with casual partners. These risk factors include depressive symptoms, sexual behavioural indicators, individual risk perception of UAI, intrapersonal factors measured by the sexual sensation seeking scale, substance use, sources of social support and social norming regarding condom use and finally the location where or media through which men find sex partners. Our findings show that multifactorial, intertwined factors contribute to the explanation of UAI among MSM at risk for HIV infection. These findings underline the need for an integrated sexual health approach for MSM.