In the era of greatly improved pharmacological treatment of HIV infection through highly active antiretroviral therapy (HAART), HIV patients experience reduced viral loads, reduced opportunistic infections, increased CD4+ T cell count, and greater life expectancy. Although life expectancy is increased, patients often develop neurological disturbances that may persist for long periods, seriously jeopardizing quality of life and adherence to the medication protocols of HAART. For these reasons, HIV-associated neurological disorders have gained importance in both clinical and basic investigations of HIV infection. Depression is the most prevalent neuropsychiatric disorder among people living with HIV. In this review, we discuss how HIV can predispose infected individuals to depression by several interrelated mechanisms. These include inducing chronic elevation of cytokines through activation of microglia and astrocytes; decreasing monoaminergic function; inducing neurotoxicity, especially in dopaminergic neurons; and reducing brain-derived neurotrophic factor. These viral pathways interact with psychosocial factors to create the depressive state. HIV depression has a great impact on quality of life and implementation of antiretroviral therapy, and thus, recognition of these modes of action is significant for understanding HIV neuropathology and for selecting modalities for pharmacologic treatment.