The aims of this paper were to explore the relationship between depressive symptoms and neuropsychological performance in a sample of HIV-infected women, and to examine the contribution of demographic, HIV-related variables, and depressive symptoms to neurocognitive performance. In reported by 31.1% of the women. Findings indicated that severe levels of depressive symptoms were significantly associated with reduced cognitive functioning in HIV-infected women, particularly in domains of attention, psychomotor speed, and construction. Older age and low education level were significantly associated with neurocognitive impairment in univariate analyses. In the multivariate model, only depressive symptoms were a significant independent risk factor for neurocognitive impairment. Compared to participants with none/minimal depressive symptoms, those with moderate and severe depressive symptoms had an odds ratio (OR) of 5.03 (95% CI, 1.33-18.99) and 3.22 (95% CI, 1.15-9.06), respectively. These findings support continued investigation of the presence of neurocognitive impairment, particularly among women, and may help mental health providers with early detection, planning, and implementation of more effective interventions.