This study examined the associations between minority stressors, poor mental health, and sexual risk behaviors, and whether there were interactive effects of minority stress and mental health factors in their associations with sexual risk behaviors in a sample of Chinese transgender women sex workers (TGSW). A cross-sectional study was conducted in 204 TGSW in Shenyang, China (mean age 33.4 years and 18.1% self-reported as HIV positive). We found a high prevalence of condomless anal intercourse (CAI) with male clients (27.9%) and CAI with male regular partners (49.5%) in the past three months among TGSW. Multivariate logistic regression analysis showed that discrimination, victimization, and life dissatisfaction were significantly associated with higher odds of CAI with male clients (AOR range: 1.05–1.42, all p < 0.05). Likewise, CAI with male regular partners was more frequently reported by participants who experienced higher levels of victimization, rejection, and anxiety (AOR range: 1.37–2.88, all p < 0.05). No significant interaction effects of gender minority stress and mental health on sexual behaviors were observed. Interventions addressing the multiple psychosocial risks are warranted to prevent behavioral risks of TGSW.