Sexual orientation-related discrimination experiences have been implicated in elevated rates of anxiety symptoms within sexual minority groups. Theory suggests that chronic discrimination experiences may dampen the ability to tolerate distress, increasing vulnerability for anxiety. This study examined the role of distress tolerance, or the capacity to withstand negative emotions, as a construct underlying associations between discriminatory experiences and anxiety among sexual minority adults. Participants (N = 119; Mage = 36.4 ± 14.8; 50% cisgender male, 31% cisgender female, 19% transgender; 37% non-Latino white) were recruited from Houston, Texas. Measures administered included the Heterosexist Harassment, Rejection, and Discrimination Scale (discrimination experiences), Distress Tolerance Scale (distress tolerance), and the State-Trait Inventory for Cognitive and Somatic Anxiety (anxiety). The association of discrimination experiences and anxiety through distress tolerance was assessed using covariate-adjusted mediation modeling. Results indicated that sexual orientation-related discrimination experiences were significantly and positively associated with anxiety and that this association was mediated through lower distress tolerance. Significant indirect effects were specific to cognitive (versus somatic) anxiety symptoms. Results suggest that distress tolerance may be an explanatory mechanism in the association between discriminatory experiences and cognitive symptoms of anxiety and a potentially relevant target within clinical interventions to address anxiety-related health disparities among sexual minority adults. However, more sophisticated designs are needed to delineate causal associations.