As the COVID-19 pandemic has increasingly become intertwined with politics, emerging studies have identified political orientations as essential drivers behind public endorsement of COVID-19 conspiracy theories. Yet little is known about the relationship between individuals’ voting choices and their conspiracy beliefs, as well as the psychological mechanism behind them. By introducing affective intelligence theory (AIT) into the conspiracy theory literature, this study examines the moderating role of emotional distress as the underlying mechanism that conditions the relationship between voting choice and the public’s anti-vaccine conspiracy beliefs. A cross-national online survey of adults (aged 18 or above; n = 2208) was fielded in Singapore, Hong Kong, Japan, and the US in June 2021. The results show that individuals who voted for the losing party in the previous election are more susceptible to anti-vaccine conspiracy theories, indicating a “losing effect.” Additionally, those experiencing greater emotional distress are more vulnerable to those conspiratorial statements. Moreover, the aforementioned losing effect of voting choice is weaker among individuals who experienced greater emotional distress during the pandemic. These findings enhance our understanding of the socio-psychological mechanism behind conspiracy beliefs.