Although filial piety is considered as a salient value in the Chinese culture, studies on the mental well-being of Chinese lesbian, gay, and bisexual (LGB) individuals rarely take filial piety into account or examine it in relation to other variables to clarify the mechanism between filial piety and mental well-being. A total of 1453 LGB participants from 30 provinces and regions in Mainland China completed the online survey. They provided demographic information and completed measures of filial piety, a general interpersonal factor (i.e., perceived burdensomeness and thwarted belongingness), an LGB-specific interpersonal factor (i.e., perceived parental support for sexual orientation), and mental well-being. Structural equation modelling results indicated that higher reciprocal filial piety was directly, and indirectly through lower thwarted belongingness, associated with better mental well-being. Lower authoritarian filial piety was indirectly associated with better mental well-being through higher perceived parental support for sexual orientation and lower thwarted belongingness. In addition, reciprocal filial piety had a stronger effect on perceived parental support for sexual orientation and perceived burdensomeness among lesbians and bisexual women than gay and bisexual men. These findings suggest that reciprocal filial piety is a protective factor, whereas authoritarian filial piety is a risk factor, for the mental well-being of Chinese LGB persons. Moreover, perceived parental support for sexual orientation and thwarted belongingness might be the mechanisms underlying the effect of reciprocal/authoritarian filial piety on mental well-being. Implications of findings for practice and research are discussed.