HIV-related stigma has a damaging effect on health outcomes among people living with HIV (PLWH), as studies have associated it with poor HIV medication adherence and depressive symptoms. We investigated whether depressive symptoms mediate the relationship between stigma and medication adherence. In a cross-sectional study, 720 PLWH completed instruments measuring HIV-related stigma, depressive symptoms, and HIV medication adherence. We used structural equation modeling (SEM) to investigate associations among these constructs. In independent models, we found that poorer adherence was associated with higher levels of stigma and depressive symptoms. In the simultaneous model that included both stigma and depressive symptoms, depression had a direct effect on adherence, but the effect of stigma on adherence was not statistically significant. This pattern suggested that depressive symptoms at least partially mediated the association between HIV-related stigma and HIV medication adherence. These findings suggest that interconnections between several factors have important consequences for adherence.