Introduction Depression is prevalent among aging people living with HIV (PLWH) worldwide. We sought to identify depression risk factors among a group of middle-aged and older PLWH in Lima, Peru. Materials and Methods We assessed risk factors for depression among PLWH over age 40 receiving care in an HIV clinic in Lima, Peru. The Patient Health Questionnaire-9 (PHQ-9) was administered. We performed descriptive statistics and logistic regression analyses. Results Mean age was 51.7 ± 7.7 years with 15.3% females. One-quarter of participants had depression with higher frequency in females. Risk factors that significantly increased the risk of depression included female sex (adjusted prevalence ratio [aPR] = 2.19 [95%CI 1.07-4.49]), currently smoking (aPR = 2.25 [95%CI 1.15-4.43]), and prior opportunistic infection (aPR = 2.24 [95%CI 1.05-4.76]). Discussion Our study demonstrates that PLWH who are female, current smokers, or had an opportunistic infection have higher risk of depression. Identifying PLWH at-risk for depression is key to early mental health interventions.