The stigma associated with sexual identity can affect an individual’s well-being. The main goal of this study was to analyse the role of a psychosocial variable, stigma consciousness, on the well-being of lesbian and gay (LG) individuals. For this purpose, a sample of 481 participants completed various questionnaires (Mage = 32.36, SDage = 9.60). Analysis of these results using structural equations showed two different pathways to cope with the stigma. The first pathway consists of collective action, and the second consists of stigma concealment. Specifically, stigma consciousness positively predicts well-being through group identification and collective action. Stigma concealment, however, negatively predicts well-being through the perception of prejudice. In addition, this work has confirmed that concealment has a direct negative relationship with subjective well-being. These results are interpreted from a psychosocial perspective. Finally, based on our data, we propose future interventions that provide LG individuals with strategies to cope with their perceptions of stigma.