Despite the importance of mental illness and the high prevalence of HIV in Africa, few studies have documented depressive symptoms among HIV-infected persons in Africa. We assessed factors associated with depression among HIV-infected adults undergoing anti-retroviral eligibility screening in Eastern Uganda. Depressive symptoms were measured using the Center for Epidemiologic Studies Depression Scale (CES-D). Univariate and multiple regression analyses were conducted to identify socio-demographic characteristics and disease-related factors associated with depression. Among 1017 HIV-infected participants assessed for depression, 47% (476/1017) reported depressive symptoms (CES-D ≥ 23). Adjusting for age, gender, education, and source of income, patients with CD4 counts <50 cells/μl were more likely to be depressed (odds ratio 2.34, 95% confidence interval, 1.39–3.93, P = 0.001). Women, participants >50 years, and those without an income source were more likely to be depressed. Depression was common among HIV-infected persons in rural Uganda and was associated with low CD4 cell counts. Appropriate screening and treatment for depression should be considered for comprehensive HIV care.