Youth living with HIV (YLH) are at elevated risk of internalizing symptoms, although there is substantial individual variability in adjustment. We examined perceived HIV-related stigma, shame-proneness, and avoidant coping as risk factors of internalizing symptoms among YLH. Participants (N = 88; ages 12–24) completed self-report measures of these potential risk factors and three domains of internalizing symptoms (depressive, anxiety, and PTSD) during a regularly scheduled HIV clinic visit. Hierarchical regressions were conducted for each internalizing symptoms domain, examining the effects of age, gender, and maternal education (step 1), HIV-related stigma (step 2), shame- and guilt-proneness (step 3), and avoidant coping (step 4). HIV-related stigma, shame-proneness, and avoidant coping were each correlated with greater depressive, anxiety, and PTSD symptoms. Specificity was observed in that shame-proneness, but not guilt-proneness, was associated with greater internalizing symptoms. In multivariable analyses, HIV-related stigma and shame-proneness were each related to greater depressive and PTSD symptoms. Controlling for the effects of HIV-related stigma and shame-proneness, avoidant coping was associated with PTSD symptoms. The current findings highlight the potential importance of HIV-related stigma, shame, and avoidant coping on the adjustment of YLH, as interventions addressing these risk factors could lead to decreased internalizing symptoms among YLH.