Purpose To evaluate the association between mental health services (MHS) use and depressive symptom scores among gay and bisexual men (GBM) and compare with heterosexual men in Canada. Methods We used data from the 2015–2016 cycles of the Canadian Community Health Survey. Depressive symptoms were assessed using the PHQ-9 questionnaire (prior two weeks). MHS consultations with any licensed mental health professional (prior year) were categorized as 0, 1, 2–11, ≥ 12. We fit linear regression models to quantify the associations between MHS use and PHQ-9 scores, with an interaction term for sexual identity (GBM and heterosexual men). Models were adjusted for socioeconomic and health-related indicators. Results Among 21,383 men, 97.3% self-identified as heterosexual and 2.7% as GBM. Compared to heterosexual men, GBM used any MHS (21% vs. 10%, p < 0.05) and consulted ≥ 2 health professionals for their mental health (6% vs. 2%, p < 0.05) in the preceding year more frequently. Overall, mean PHQ-9 scores were higher among GBM compared to heterosexual men (3.9 vs. 2.3, p < 0.05). Relative to no consultations, higher MHS use (2–11, ≥ 12 consultations) was associated with higher PHQ-9 scores (1.4–4.9 points higher). Associations between MHS use and PHQ-9 scores did not differ statistically between GBM and heterosexual men. Conclusion Our findings were inconclusive in demonstrating a difference between heterosexual men and GBM for the association between MHS use and PHQ-9 scores. However, GBM consistently had higher average PHQ-9 scores for every category of consultations. Considering the higher use of MHS and higher burden of depressive symptoms among GBM, more research is needed.