Background Previous studies have indicated the association between stigma and depressive symptoms among frequently stigmatized groups, such as men who have sex with men (MSM). While this association has been suggested in the literature, there is a dearth of evidence that examines whether food insecurity statistically mediates the relationship between stigma and depressive symptoms. Methods This cross-sectional study conducted between October and December 2022 among a sample of 250 MSM in Kathmandu, Nepal, recruited through respondent-driven sampling. An unadjusted model including the exposure (stigma), mediator (food insecurity), and outcome variables (depressive symptoms) and an adjusted model that controlled for sociodemographic, behavioral, and health-related confounders were used. Bootstrapping was utilized to estimate the coefficients of these effects and the corresponding 95% confidence intervals. Via bootstrap approach, we find out the mediating role of food insecurity in the association between stigma and depressive symptoms. Results Depressive symptoms, stigma, and food insecurity were 19.6%, 24.4%, and 29.2%, respectively, among MSM. Food insecurity was associated with higher age (b = 0.094; 95% CI = 0.039, 0.150) and monthly income (b = -1.806; 95% CI = -2.622, -0.985). Depressive symptoms were associated with condom-less sex in past six months (b = -1.638; 95% CI = -3.041, -0.092). Stigma was associated with higher age (b = 0.196; 95% CI = 0.084, 0.323) and PrEP uptake (b = 2.905; 95% CI = 0.659. 5.248). Food insecurity statistically mediated 20.6% of the indirect effect of stigma in depressive symptoms. Conclusion Our findings show that food insecurity affects the relationship between stigma and depressive symptoms in this population. Reducing food insecurity and addressing the stigma surrounding sexual orientation should be a priority when addressing mental health concerns among MSM in Nepal and other resource-limited countries with similar socio-cultural settings.