Depression is the most common neuropsychiatric complication in HIV-infected patients and may occur in all phases of the infection. Accurately, diagnosing major depressive disorder in the context of HIV is an ongoing challenge to clinicians and researchers, being complicated by the complex biological, psychological, and social factors associated with the HIV illness. Evidences exist to support the importance of improving the identification of depressive symptoms and their adequate treatment. Depression has long been recognized as a predictor of negative clinical outcomes in HIV-infected patients, such as reducing medication adherence, quality of life, and treatment outcome, and possibly worsening the progression of the illness and increasing mortality. By analyzing the most relevant studies (MEDLINE, EMBASE, PsycLit, Cochrane Library), the review discusses the epidemiology and the main clinical features of depression in HIV-infected patients, the causal pathways linking depression and HIV infection, the validity of screening tools, and the efficacy of different treatment approaches, including psychosocial interventions, psychopharmacology as well as HIV-specific health psychology health service models.