Little is known about the prevalence and impact of depression in persons newly diagnosed with HIV infection. The Steps Study is a prospective, observational cohort study of persons newly diagnosed with HIV infection. Participants were administered a battery of instruments, including the CES-D. Linkage to care was defined as attending at least one clinic appointment in each of the first two 90-day intervals following diagnosis. Of 180 participants, 67% screened positive for depression. In multivariate analysis, depression was associated with female sex, income <$25,000, recent substance abuse, baseline poor access to medical care, and low self-efficacy. Fifty-six and sixty-eight percent of depressed and not depressed participants linked to care, respectively. In multivariate analysis, depression was a borderline significant predictor of poor linkage. Depression is very prevalent in persons newly diagnosed with HIV infection. Interventions targeting linkage to care should address depression, substance abuse, and barriers to care.