Gay and bisexual men (GBM) with heightened fears of human immunodeficiency virus (HIV) acquisition have reported high levels of sexual anxiety and low sexual self-esteem. Similarly, sexual satisfaction has been reported to be lower among some GBM who rely solely on condom use as HIV prevention. We sought to explore whether pre-exposure prophylaxis (PrEP) had an impact on the sexual satisfaction, anxiety, and esteem of GBM. As part of a longitudinal cohort study of 1,071 GBM, participants reported at three time points on PrEP use and completed the Multidimensional Sexual Self-Concept Questionnaire (MSSCQ). A total of 137 GBM began taking PrEP in the 24 months following baseline. Comparing their responses during times before initiating PrEP and after, within adjusted multilevel models, there was a significant decrease in sexual anxiety (B = -0.27, p = 0.03) but no significant changes in sexual esteem or satisfaction. Our findings indicate important psychological improvements resulting from PrEP initiation. Further research should explore the potential for other psychological benefits of PrEP use among GBM.