Findings have been inconsistent regarding the association of obesity and sexual risk behaviors. The purpose of the current study was to assess the prospective nature of body mass index (BMI), depression, and their interaction in predicting condom use during anal intercourse among HIV-infected men who have sex with men (MSM). The sample (N = 490) was obtained from a large, HIV clinical cohort from four sites across the U.S. The following inclusion criteria were employed: identification as MSM and had completed at least one wave of patient-reported measures (e.g., depression, as measured by the PHQ-9) in the clinical cohort study. Longitudinal linear mixed-effects modeling revealed a significant BMI by depression interaction. Depressive symptoms were predictive of less frequent condom use for obese but not overweight men. Analogous results were found in regard to comparisons between normal weight and overweight men. Obesity, in the context of depression, is a risk factor for unprotected anal intercourse among HIV-infected MSM. Cognitive behavioral interventions to reduce HIV transmission risk behaviors among HIV-infected MSM should adopt an integrated perspective, combining sexual risk reduction with treatment for depression and body-related concerns.