In order to examine relationships between depression treatments (antidepressant and/or psychotherapy utilization) and adherence to antiretroviral therapy (ART), we conducted a retrospective analysis of medical and pharmacy insurance claims for privately insured persons living with HIV/AIDS (PLWHA) diagnosed with depression (n = 1,150). Participants were enrolled in 80 insurance plans from all 50 states. Adherence was suboptimal. Depression treatment initiators were significantly more likely to be adherent to ART than the untreated. We did not observe an association between psychotherapy utilization and ART adherence, yet given the limitations of the data (e.g., there is no information on types of psychological treatment and its targets), the lack of association should not be interpreted as lack of efficacy.