Studies have reported an inverse relationship between depressive symptoms and weight and CD4 gain and a positive association between social support and weight and CD4 gain. The main objective of this study was to explore the effect of depressive symptoms and perceived social support on weight change and CD4 cell progression in an HIV clinic in Ethiopia. The study design was descriptive cross-sectional, with a sample of 1815 HIV-infected adults age 18 years or above. Depressive symptoms and perceived social support were the independent variables, while weight and CD4 cell count were the dependent variables. Regression modeling was the main statistical approach used for the analysis. A significant proportion of females reported depressive symptoms: being bothered by things that do not bother other people, they had been depressed, and their sleep had been restless for 5-7 days a week. A lesser proportion of males reported these problems. A significant proportion of study participants did not have someone to borrow a small amount of money (6 USD) from for immediate help and did not have somebody to support them if they were confined to bed for several weeks. Worse depressive symptoms had a negative effect on weight gain and CD4 cell progression, while better perceived social support had a positive effect on both weight gain and CD4 cell progression. Interventions that address both of these background factors need to be designed and implemented as part of the HAART program to improve weight gain and CD4 cell progression.