The current study examines the relationships of several psychosocial correlates and mediating factors with problem behaviors among children (6–18 years of age) affected by parental HIV/AIDS in rural China. Cross-sectional data were collected from 755 children orphaned by AIDS (“orphans”) and 466 children living with HIV-positive parents (“vulnerable children”) during 2006–2007 in central rural China. The structural equation modeling analyses revealed that HIV-related stigma had a positive direct effect on problem behaviors of vulnerable children, while HIV-related stigma and low education aspiration had direct negative effects on school adjustment among both orphans and vulnerable children. Measures of future orientation and perceived social support mediated the effect of HIV-related stigma and low education aspiration on school adjustment, which in turn was negatively associated with problem behaviors of both groups. The data also showed that school adjustment mediated the effect of low education aspiration and HIV-related stigma on problem behaviors of both orphans and vulnerable children. Future prevention intervention efforts aiming to reduce problem behaviors and improve school adjustment among these children should target multiple factors at individual, community, and societal levels such as enhancing the children’s future expectation, increasing the social support from family, school, and community, and reducing HIV-related stigma against children and families affected by HIV.