In a prospective cohort study, baseline data were collected on 226 males with HIV infection attending three infectious disease clinics in a southern state. As a result of advances in HIV treatment, understanding the association between psychosocial factors and health-related quality of life has become an important area of study. The purpose of this study was to assess the total effects of social support and coping as well as the direct and indirect effects of these factors through depression on health-related quality of life. Subjects were interviewed and answered the following standardized questionnaires: The HIV Cost and Services Utilization Study tool, Coping with HIV Questionnaire, Social Support Appraisals Scale, and Centers for Epidemiological Studies Depression instrument. Path models with strictly ordered relationships were fitted to study the effects of the psychosocial variables on each quality of life subscale. We found that coping and social support had total effects on some, but not all dimensions of health-related quality of life, whereas depression was associated with all dimensions of health-related quality of life. Furthermore, the effects of both social support and coping were mainly through the intermediate variable, depression. In the era of highly active antiretroviral therapy (HAART), when quality of life issues are of paramount importance, strategies to improve social support, coping, and particularly, depressive symptoms are strongly encouraged.