Background. Our study aimed to assess the burden of depression and evaluate factors associated with depression and status of HIV risk behaviors among female sex workers (FSWs) in Guangdong, China. Method. We recruited FSWs from massage parlors, saunas, restaurants, hotels, hair salons, and streets in Guangdong, China, in 2014. Information on demographic characteristics, HIV testing history, and sexual behaviors was collected using a questionnaire. A blood sample was collected to test for HIV, syphilis, and HCV. A participant was defined as being depressed if she obtained 6 points or above using the 12-item General Health Questionnaire. Results. Among the 653 participants, 41.7% were 21–30 years old and 43.6% married. Overall, 52.4% were found to be depressed. FSWs who had correct syphilis related knowledge [aOR = 1.45; 95% CI: 1.04–2.03] and had primary sex partner (1.63, 1.14–2.33) were more likely to be depressed. FSWs who did not use a condom during their last sex with the primary sex partner were less likely to be depressed (0.47, 0.31–0.71). Conclusion. Our study observed high level of depression and HIV risk behaviors among Chinese FSWs. Future interventions should integrate mental health services in comprehensive interventions to prevent depression among Chinese FSWs.