The effect of depression on HIV disease progression was examined among 996 HIV-positive Tanzanian women participating in a trial on micronutrients and pregnancy outcomes, vertical transmission, and disease progression. Depression and social support were measured 2 months after HIV screening and every 6 to 12 months thereafter. Depression measures from pregnancy and more than 12 months postpartum were included in this analysis. Participants' clinical condition and access to supportive individual or group counseling was assessed throughout the 6 to 8 years of follow-up. Cox proportional hazard models were used to estimate the time-varying effect of depression on progression to HIV clinical stage III/IV (World Health Organization) and all-cause mortality. Participation in group or individual counseling and baseline social support were also examined. More than half (57%) of the study sample had symptoms comparable with depression at least once during the follow-up period. Controlling for sociodemographic variables, psychosocial support, and clinical condition at enrollment, depression was associated with an increased risk of disease progression (HIV clinical stage III/IV [hazard ratio (HR) = 1.61, 95% confidence interval (CI): 1.28 to 2.03] and mortality [HR = 2.65, 95% CI: 1.89 to 3.71]). Depression is common among HIV-infected Tanzanian women and increases the risk of disease progression. Screening for depression and providing psychosocial interventions should be considered part of comprehensive HIV care.