HIV is best managed by adhering to both medication and HIV care appointment schedules. Nonetheless, many HIV-positive men who have sex with men (MSM) report low levels of adherence to both. To explain this, we tested a cognitive escape model whereby drug and alcohol use mediate the effects of depression on HIV medication and appointment adherence. We used longitudinal data (n=856) from a behavioral intervention promoting increased treatment adherence among HIV-positive MSM. All model variables predicted appointment adherence, and our mediation hypotheses were supported. Conversely, although depression related to medication adherence, substance use did not mediate this relationship, as predicted. Self-reported appointment, but not medication, adherence related to changes in viral load over time. Therefore, cognitive escape characterizes appointment, but not medication, adherence within this sample. Future behavioral interventions for this population should target HIV appointment adherence, given its relationship to important clinical, psychological, and behavioral outcomes.