Major Depressive Disorder (MDD) and other disorders on the depressive spectrum are more prevalent among HIV-infected individuals than in the general population. These illnesses have a significant impact on prevention, engagement and adherence to HIV care, prognosis, illness-related disability, and quality of life. Diagnosis of depressive disorders may be delayed, and management may be inadequate, due to interfering factors such as overlapping symptoms, co-morbid neurocognitive disorders, and risk of drug-drug interactions. Not only do HIV infection and disorders on the depressive spectrum act as mutually reciprocal risk factors, but their concomitance may provide an etiopathogenetic model; co-morbid depressive disorders may contribute to understanding the complex role played by the neuro-endocrine-immune system in the development, maintenance, and chronicity of psychiatric symptoms. Many neurobiological pathways are involved, including the HPA axis and the gut microbiome. Various therapeutic options are available for MDD among HIV-infected patients, including antidepressant medications, other psychopharmacological interventions, and non-pharmacological strategies. Antidepressants are safe and appropriate for the care of persons with HIV and co-morbid depressive disorders. The recognition and treatment of depressive symptoms and disorders among HIV-infected persons is a major clinical goal, considering the high prevalence of this co-morbidity and its impact on prognosis and perceived quality of life.