Objective: HIV stigma undermines health and well-being of people living with HIV (PLWH). Conceptual work on stigma mechanisms suggests that experiences of stigma or discrimination increase internalised stigma. However, not all PLWH may internalise the HIV discrimination they experience. We aimed to investigate the role of stress associated with events of HIV-related discrimination on internalised HIV stigma, as well as the downstream effects on depressive symptoms and alcohol use severity. Design: 199 participants were recruited from an HIV clinic in the southeastern United States. Main study measures: HIV-related discrimination was assessed using items adapted from measures of enacted HIV stigma and discrimination. Participants rated perceived stress associated with each discrimination item. Internalised HIV stigma was assessed using the internalised stigma subscale of the HIV Stigma Mechanisms Scale. Depressive symptoms were assessed with the Centre for Epidemiological Studies-Depression Index. Alcohol use severity was assessed with the Alcohol Use Disorders Identification Test. Results: In serial mediation models, HIV-related discrimination was indirectly associated with both depressive symptoms and alcohol use severity through its associations with stress and internalised HIV stigma. Conclusions: Understanding the mechanisms through which PLWH internalise HIV stigma and lead to poor health outcomes can yield clinical foci for intervention.