The HIV epidemic among men who have sex with men (MSM) in China is becoming very serious. Unprotected anal intercourse (UAI) among MSM during cross-boundary commercial sex spread HIV across geographic areas. This study interviewed 186 Chinese male sex workers (MSW) in Shenzhen, China, serving cross-boundary Hong Kong male clients; 49.5% had had UAI with their Hong Kong male clients (last six months) and 24.2% intended to do so (future six months). Multivariate analyses showed that perceived efficacy of condom use for HIV prevention, perceived prevalence of HIV among Hong Kong MSM (>4%), and perceived ability to convince Hong Kong male clients to use condoms during anal sex were associated with lower likelihoods of UAI with such clients (OR = 0.04-0.09); the reverse was true for those who left the decision of condom use to their Hong Kong male clients (OR = 6.44). Perceived condom efficacy, self-efficacy in protection against HIV infection, and perceived control over condom use were associated with an intention for UAI (OR = 0.06-80.44). Adjusting for background variables, the scales representing contextual (Clients Characteristics, Substance Use, or Environmental Influences) and affective factors (Fear of Diseases) were associated with UAI (adjusted OR = 0.44-32.61). Except the Fear of Diseases scale, other scales were associated with an intention for UAI (adjusted OR = 4.59-43.32). MSW are at high risk of HIV transmission. Various factors are associated with UAI with male cross-boundary clients; these factors and the context of sex work need to be considered when designing HIV prevention programs.