Nearly one‐third of individuals in treatment for substance use disorders endorse at‐risk levels of compulsive sexual behaviours (CSBs). Untreated sexual compulsivity may facilitate relapse for treatment‐seeking men. Previous research and theory suggest that CSBs are maintained by efforts to escape or alter negative affect (e.g., depression and anxiety). However, this hypothesis has not been examined within a sample of men in treatment for substance use disorders. In an effort to better understand CSBs within a population of men with substance use disorders, the present study is the first to examine experiential avoidance as one potential mechanism underlying the relation between men's symptoms of depression and anxiety and their use of CSBs. The present study reviewed medical records of 150 men in residential treatment for substance use disorders. Structural equation modelling was used to examine pathways from men's depression and anxiety symptoms to CSBs directly and indirectly through experiential avoidance while controlling for alcohol/drug problems and use. Results revealed significant indirect effects of both depression and anxiety symptoms on CSB through experiential avoidance. These results support and extend existing research on CSB in a treatment population. Findings suggest that intervention efforts for CSB may benefit by targeting men's avoidance of painful internal events. Key Practitioner Message Compulsive sexual behaviour is related to symptoms of depression and anxiety amongst men in residential treatment for substance use disorders. Experiential avoidance is positively related to compulsive sexual behaviour amongst men with substance use disorders. For men in treatment for substance use disorders, the relation between symptoms of depression and anxiety and compulsive sexual behaviour is explained, in part, by experiential avoidance. Helping men with substance use disorders develop more adaptive methods of processing aversive experiences, as opposed to escaping them, may reduce their use of compulsive sexual behaviours when faced with aversive affect.