Affect is believed to be one of the most prominent proximal psychological pathway through which more distal psychosocial factors influence physiology and ultimately health. The current study examines the relative contributions of trait affect and state affect to the hypothalamic–pituitary–adrenal axis activity, with particular focus on cortisol slope, in children affected by parental HIV/AIDS. A sample of 645 children (8–15 years old) affected by parental HIV/AIDS in rural China completed a multiple-day naturalistic salivary cortisol protocol. Trait and state affect, demographics, and psychosocial covariates were assessed via self-report. Hierarchical linear modeling was used for estimating the effects of trait affect and state affect on cortisol slope. Confidence intervals for indirect effects were estimated using the Monte Carlo method. Our results indicated that both trait and state negative affect (NA) predicted flatter (less “healthy”) diurnal cortisol slopes. Subsequent analyses revealed that children’s state NA mediated the effect of their trait NA on diurnal cortisol slope. The same relationships did not emerge for trait and state positive affect. These findings provide a rationale for future interventions that target NA as a modifiable antecedent of compromised health-related endocrine processes among children affected by parental HIV/AIDS.