Objective To study the relationship between anxiety and depression symptoms and the relationships of HIV related behaviors with anxiety, depression and their comorbidity among men who have sex with men(MSM), so as to provide evidence for HIV behavior intervention. Methods Nonrandom sampling was applied to recruit MSM. Self-Rating Anxiety Scale (SAS) and The Center for Epidemiological Studies Depression Scale (CES-D) were used to evaluate the anxiety and depression symptoms. The participants were divided into four groups according to the results: anxiety, depression, their comorbidity and negative groups. The differences in HIV related behaviors among the four groups were compared and the canonical correlation analysis was used to study the relationship between anxiety and depression symptoms. Results Totally 854 MSM were surveyed in the present study. The detection rate of anxiety was 31.97% (273/854) and that of depression was 45.55% (389/854). The positive rate of comorbid anxiety and depression was 27.28% (233/854). Variance analysis showed that anxiety, depression and their comorbidity were correlated with 4 demographic characteristics:registered residence, educational level, sexual orientation and history of sexually transmitted disease (STD) (P<0.05); three HIV related behaviors(number of female sexual partners, looking for partner via the internet in recent 6 months, and providing or getting commercial sex services in recent 6 months) were correlated with anxiety, depression and their comorbidity (P<0.05).The canonical correlation analysis showed that depressed affect(X1), somatic and retarded activity(X3) of depression had a positive impact on anxiety and panic(Y1), somatic control(Y3) and gastrointestinal sensations(Y4) of anxiety; positive affect (X2) had a positive impact on vestibular sensations(Y2), while education(X6) had a negative influence on it. Conclusion Anxiety and depression are common in MSM, and there is a close relation between anxiety and depression symptoms; comorbidity of anxiety and depression is common; and all of them are highly associated with HIV related behaviors.