PURPOSE: Racial/ethnic minorities experience disproportionate rates of depressive symptoms in the United States. The magnitude that underlying factors-such as social inequalities-contribute to these symptoms is unknown. We sought to identify exposures that explain racial/ethnic differences in clinically significant depressive symptomology among men who have sex with men (MSM). METHODS: Data from the Multicenter AIDS Cohort Study (MACS), a prospective cohort study, were used to examine clinically significant symptoms of depression (Center for Epidemiologic Studies Depression Scale score ≥ 20) among non-Latinx White, non-Latinx Black, and Latinx MSM. We included 44,823 person-visits by 1,729 MSM seen in the study sites of Baltimore/Washington, DC; Chicago; Pittsburgh/Columbus; and Los Angeles from 2000–2017. Regression models estimated the percentage of depressive symptom risk explained by social, treatment, and health-related variables related to race/ethnicity. Machine-learning methods were used to predict the impact of mitigating differences in determinants of depressive symptoms by race/ethnicity. RESULTS: At the most recent non-missing MACS visit, 16% of non-Latinx White MSM reported clinically significant depressive symptoms, compared to 22% of non-Latinx Black and 25% of Latinx men. We found that income and social-environmental stress were the largest contributors to racial/ethnic disparities in risk for depressive symptoms. Similarly, setting the prevalence of these two exposures to be equal across racial/ethnic groups was estimated to be most effective at reducing levels of clinically significant depressive symptoms. CONCLUSION: Results suggested that reducing socioeconomic inequalities and stressful experiences may be effective public health targets to decrease racial/ethnic disparities in depressive symptoms among MSM.