Objective: To study the prevalence of depression and related factors among men who have sex with men (MSM) in Shenzhen China. Methods: Using a cross-sectional design, convenient sampling was applied to recruit participants at the AIDS(Acquired Immune Deficiency Syndrome)voluntary counseling and testing (VCT) clinic and gay clubs in 2015, thereby collecting data on sociodemographics, serological information, sexual behaviotablers, and depression. Descriptive analyses were conducted to determine the distribution of the measured variables. A chi-square test was applied to test the association between different levels of factors and depression status, alongside a binary logistic regression for multivariate analysis of depression. Results: A total of 334 MSM completed the survey. Their mean age was 29.88 ± 7.56, and 35.6% had at least college education; 44.9% considered themselves to be homosexual, and 43.4% considered themselves bisexual. The median score of depression was 12, with 116 people (34.7%) depressed. A total of 267 took the serological test. Of these 267, 60 (22.5%) were reported HIV(Human Immunodeficiency Virus) positive, 33 (12.4%) were syphilis positive, and none were hepatitis C positive. The multiple logistic regression analysis showed that a lack of awareness of AIDS knowledge (OR(Odds Ratio): 2.636, 95% CI(confidence interval): 1.384–5.020), peer education (OR: 1.752, 95% CI: 1.055–2.190), and lack of heterosexuality (OR: 1.805, 95% CI: 1.080–3.018) increased the odds of depression. Conclusion: Raising awareness of AIDS and strengthening peer education can improve depression among men who have sex with men.