AbstractSelf‐stigma can undermine self‐esteem and self‐efficacy of people with serious mental illness. Coming out may be one way of handling self‐stigma and it was expected that coming out would mediate the effects of self‐stigma on quality of life. This study compares coming out to other approaches of controlling self‐stigma. Eighty‐five people with serious mental illness completed measures of coming out (called the Coming Out with Mental Illness Scale, COMIS), self‐stigma, quality of life, and strategies for managing self‐stigma. An exploratory factor analysis of the COMIS uncovered two constructs: benefits of being out (BBO) and reasons for staying in. A mediational analysis showed BBO diminished self‐stigma effects on quality of life. A factor analysis of measures of managing self‐stigma yielded three factors. Benefits of being out was associated with two of these: affirming strategies and becoming aloof, not with strategies of shame. Implications for how coming out enhances the person's quality of life are discussed. © 2010 Wiley Periodicals, Inc.