The present study investigated the prevalence of psychological problems and their relationships with relevant HIV prevention behaviors among female sex workers (FSWs). An anonymous cross-sectional survey was conducted. With a mapping exercise, 293 Chinese FSWs were recruited from a red-light district in Hong Kong. Results showed high prevalence of psychological problems among FSWs: substance use (40.4%), probable depression (53.9%), self-harm tendencies (34-38%), poor self-esteem (48-52%), and pessimistic future outlook (46-47%). Inconsistent condom use was common (51% with clients, 23% with one-night-stand sex partner, and 73% with boyfriends). Over 70% had not used HIV-related prevention services in the last 6 months. Multivariate analyses indicated that psychological problems were significantly associated with inconsistent condom use and non-use of prevention services. The poor psychological well-beings of FSWs have important public health implications. Relevant professional services should be provided and integrated with HIV prevention efforts.