Homophobic experiences with traumatic characteristics related to shame are more frequent among sexual minority (SM) than heterosexual individuals. Concurrently, SM individuals present higher levels of psychopathology and transdiagnostic processes (e.g., shame) than heterosexual individuals. Self-compassion has been identified as a protective mechanism that counteracts the effects of shame. The current study aimed to analyse which components of self-compassion affect mental health and test the mediating role of self-compassion in the relationship between feelings of shame in traumatic homophobic bullying experiences (THBEs) and psychopathology indicators (depression, anxiety, and social anxiety symptoms). In this study, 190 Portuguese SM individuals (Mage = 28.3, SD = 7.5) completed self-report measures assessing traumatic experiences, self-compassion, and psychopathology. Data were explored with SPSS and AMOS. Regression analyses showed that internal shame felt during THBE and compassionate actions predicted psychopathology outcomes. Mediation analyses revealed that internal shame during a THBE had a significant indirect effect on all psychopathology outcomes through compassionate actions. In other words, internal shame during a THBE was significantly associated with depression, anxiety, and social anxiety, and these relationships were partially mediated by compassionate actions. Our results reinforce the importance of developing compassionate actions towards the self as a possible protective factor for psychopathology among SM individuals.