Several studies have shown that problematic use of online sexual activities (OSAs) can constitute a dysfunctional coping strategy that reflects a compensatory usage of the Internet. Yet, some specific risk factors—widely investigated in the field of general problematic Internet use—have to date been scarcely studied within the context of OSA. Hence, the goal of this study was to test a theoretical model in which self‐esteem, loneliness, and social anxiety are hypothesized to predict the type of OSAs favored and their potential addictive use. To this end, an online survey was conducted in a sample of self‐selected men who used OSAs on a regular basis (N = 209). Results showed that low self‐esteem is positively associated with loneliness and high social anxiety, which were in turn positively related to involvement in two specific OSAs: use of pornography and the search for online sexual contacts. Higher engagement in these OSA activities was related to symptoms of addictive usage. These findings underline the importance in psychological interventions of taking into account the specific OSA practiced to improve self‐esteem and to reduce loneliness and symptoms of social anxiety.