Given the dearth of research exploring mental health differences between rural and urban men who have sex with men (MSM), we sought to examine differences in depressive symptomology and loneliness. Concurrently we examined the mediating effects of loneliness on the link between geographic locale and depressive symptoms via a mediation model. Data were collected from 156 MSM in Oklahoma. Results show urban MSM have significantly higher levels of both depressive symptomology and loneliness. Mediation analyses revealed that the link between urban/rural locale and depressive symptomology was mediated by loneliness. In other words, identifying as urban MSM may result in higher levels of depressive symptomology through feelings of loneliness. The rationale for this includes the possibility that rural MSM may have strong online social support ‘networks’ which act as a protective factor against loneliness and depressive symptomology, or that elements of urban environments increase stress in urban MSM. It is also possible that the urban landscape of Oklahoma does not provide the same level of acceptance as other urban areas in more liberal parts of the country. Interventions at the individual or community level should consider geographic location as a mesosystem factor that impacts the mental health of MSM.