Background The mental health and medical follow-up of people living with HIV (PLWH) have been disrupted by the COVID-19 pandemic. The objectives of this study were to assess anxiety, depression and substance use in Mexican PLWH during the pandemic; to explore the association of these symptoms with adherence to antiretroviral therapy (ART), and to compare patients with and without vulnerability factors (low socioeconomic level, previous psychological and/or psychiatric treatment). Methods We studied 1259 participants in a cross-sectional study, PLWH receiving care at the HIV clinic in Mexico City were contacted by telephone and invited to participate in the study. We included PLWH were receiving ART; answered a structured interview on sociodemographic data and adherence to ART; and completed the psychological instruments to assess depressive and anxiety symptoms and substance use risk. Data collection was performed from June 2020 to October 2021. Results 84.7% were men, 8% had inadequate ART adherence, 11% had moderate-severe symptoms of depression, and 13% had moderate-severe symptoms of anxiety. Adherence was related to psychological symptoms (p < 0.001). Vulnerable patients were more likely to be women, with low educational level and unemployed (p < 0.001). Conclusions It is important to address mental health of PLWH during the COVID-19 pandemic, with special attention to the most vulnerable individuals. Future studies are needed to understand the relationship between mental health and ART adherence.