This cross-sectional study aimed to compare dietary intake in people living with HIV (PLHIV) experiencing symptoms of depression with those not reporting depression. The Centre for Epidemiologic Studies Depression Scale (CES-D10) was used to classify the risk of depression. Dietary nutrient intake was determined using the diet history and food frequency questionnaire. Depressed (n = 21) compared with non-depressed (n = 37) subjects had significantly lower mean intake of fibre (16.1 versus 25.4 g/day), vitamin A (801.5 versus 1524.8 mg/day), magnesium (299.8 versus 380.0 mg/day) and folate (264.8 versus 402.9 μg/day). The proportion of subjects achieving the recommended intake of these nutrients, with the exception of folate was also found to be lower in the depressed group compared with non-depressed group. The study found that depressive symptomatology in PLHIV was associated with poorer dietary nutrient intake. A multidisciplinary model of care that includes a nutrition assessment is recommended for the management of PLHIV with depression to reduce the risk of associated nutritional problems.