Our purpose was to examine among HIV-infected patients a) characteristics associated with depressive symptoms at initial primary care presentation and b) factors associated with improvement in depressive symptoms. We interviewed HIV-infected patients at initial presentation and reassessed them 6 months later. At baseline and follow-up, we collected data on depressive symptoms (CES-D) and other characteristics. Using multiple linear regression, we examined associations between CES-D score and baseline variables. We used multiple logistic regression to examine factors associated with improvement in depressive symptoms. Seventy-one percent of the baseline sample (N = 203) scored above the threshold considered indicative of depression. At 6 months, 36% of the subjects who were followed improved in depressive symptoms. Higher baseline CES-D scores, improvements in HIV-related symptoms, and joining a support group were associated with improvement. Depressive symptoms in this urban HIV-infected population were highly prevalent. It is essential to screen, identify, and treat depression among patients entering care for HIV disease. Encouragement in joining support groups is a reasonable component of a strategy for addressing this common condition.