The relationships between coping strategies, goal adjustment, and symptoms of depression and anxiety were studied in 104 HIV-positive men who have sex with men, in December 2006. The mean age of the respondents was 50 years, and almost were of Dutch nationality. On average people had known about their HIV-positive status for 10 years and the majority was on HIV-medication. The Cognitive Emotion Regulation Questionnaire, COPE, the Goal Obstruction Questionnaire, and the Hospital Anxiety and Depression Scale were filled out at home. Pearson correlations and Hierarchical Regression Analyses were performed. The findings suggested that cognitive coping strategies had a stronger influence on well-being than the behavioral coping strategies: positive refocusing, positive reappraisal, putting into perspective, catastrophizing, and other-blame were all significantly related to symptoms of depression and anxiety. In addition, withdrawing effort and commitment from unattainable goals, and reengaging in alternative meaningful goals, in case that preexisting goals can no longer be reached, seemed to be a fruitful way to cope with being HIV positive. These findings suggest that intervention programs for people with HIV should pay attention to both cognitive coping strategies and goal adjustment.