People with serious mental illness experience discrimination across many different contexts. Mental illness-related discrimination has, however, been an underresearched area until the last decade. This study aims is to expand understanding of the relationship between discrimination and well-being. Cross-sectional data on stigma, experiences of discrimination, and well-being were collected from adults in specialist mental health services in South London, United Kingdom as part of the Mental Illness-Related Investigations on Discrimination (MIRIAD) study. Structural equation modeling (SEM) supported the predictions that a higher degree of experienced discrimination would be associated with lower well-being via a pathway through higher internalized stigma and hopelessness. Higher anticipated discrimination also separately mediated the association between higher discrimination and lower well-being in the model. This suggests that discrimination is associated with lower well-being through both internalization of negative stereotypes and demoralization, as well as anticipation of further discrimination. In order to increase the well-being of people with severe mental illness (SMI), interventions may need to address the negative beliefs people hold about themselves (internalized stigma), as well as the sense of current and future threat that they experience (experienced and anticipated discrimination).