Aim: The current cross-sectional study examined the relationship between affiliate stigma and externalizing and internalizing problems by investigating the role of family cohesion among adolescents having a parent with serious mental illness (SMI). Method: One hundred sixty-four adolescents were recruited from two community mental health centers. Family cohesion, affiliate stigma, and adolescent internalizing and externalizing problems were assessed. Findings: A significant relationship was found between adolescent externalizing and internalizing problems and family cohesion (r = −0.462, p < 0.01 and r = −0.534, p < 0.001, respectively) and affiliate stigma (r = 0.512, p < 0.01 and r = 0.656, p < 0.001, respectively). Family cohesion partially mediated the relation between affiliate stigma and externalizing problems (Z = −4.97, p < 0.001) and fully mediated the relation between affiliate stigma and internalizing problems (Z = −5.18, p < 0.001). Conclusions: The current study highlights the need for effective interventions aimed at families to support parents with SMI in their parenting role and enhance family cohesion.