Efavirenz (EFV) causes neuropsychiatric effects such as anxiety, depression, and suicidal thoughts in people with HIV (PWH). Depressive disorders have been associated with the Tryptophan hydroxylase type 2 (TPH2) gene. Objectives: This study determines the genotypes and allelic frequencies of three TPH2 single nucleotide polymorphisms (SNPs) in a Mexican cohort of HIV-1 treatment-naïve-patients and the severity of depressive symptoms at baseline and after a four-week clinical follow-up of antiretroviral treatment. Methods: In a pilot prospective study, eighty-one antiretroviral treatment-naïve patients were recruited from the Infectious Disease Hospital, National Medical Center “La Raza”, in Mexico City. Of these, 39 were treated using a set-dose combination regimen of tenofovir disoproxil fumarate/emtricitabine (TDF/FTC) plus EFV and 42 were treated with TDF/FTC plus atazanavir/ritonavir (ATV/r), and fifty-nine control volunteers. Genomic DNA was obtained from peripheral blood mononuclear cells. All DNA samples underwent qPCR utilizing TaqMan probes for the three TPH2 SNPs studied. All participants underwent evaluation utilizing the Beck Depression Inventory. Results: Of the three SNPs examined, none exhibited any notable differences in the distribution of the alleles between the groups; nevertheless, rs4570625 TT and rs1386493 GG presented a twofold and fivefold greater risk of severe depression in PWH, respectively, independently of the treatment. Among PWH, those treated with EFV experienced severe depression at a higher rate of 90.4% after four weeks, compared to 87.5% in those treated with ATV/r. Conclusions: High rates of severe depression were identified in PWH, who presented the rs4570625 TT and rs1386493 GG polymorphic variants. Depression increased after four weeks of treatment and was higher with EFV than ATV/r. It is crucial to emphasize the necessity of conducting psychiatric monitoring for every patient with HIV and administering prompt antidepressant treatment.