Although research has consistently shown that individuals who identify as transgender have increased rates of mental health difficulties compared to their cisgender peers, less is known about the psychological mechanisms that convey this heightened risk. The data analyzed here were collected through the Wake Forest Well Being Assessment, which was conducted at 28 U.S. colleges and universities. The sample included 372 transgender college students who completed measures of discrimination, belonging, loneliness, depression, and anxiety. The results demonstrated an indirect association such that participants who reported more domains of discrimination reported lower belonging, which was associated with greater loneliness, which was associated with greater depression and anxiety. Ultimately, the findings of the present study provided further support of the psychological mediation model and can be used to inform interventions.