The purpose of this study was to examine the mechanisms responsible for the beneficial psychological effects of a coping-focused group intervention for HIV-positive individuals who had lost loved ones to AIDS. Data from 235 HIV-positive men and women enrolled in a randomized controlled clinical trial testing a coping-focused group intervention were analyzed using a multiple-indicator-multiple-cause (MIMIC) structural equation model. Results revealed that the effects of the intervention on decreases in depression and grief were mediated by decreases in avoidant coping. Specifically, participants in the intervention condition decreased their use of avoidant coping. Decreases in avoidant coping, in turn, were related to decreased depression and grief. The results of this study help to validate the use of coping-focused interventions for HIV-positive bereaved individuals.