Objectives: Depression is common among people living with HIV (PLWHIV) and is associated with poorer therapeutic outcomes and risky behaviours. We sought to estimate the prevalence of major depressive episode (MDE) across PLWHIV groups, to compare this with its prevalence in the general population and to assess factors associated with it. Methods: We used data from the Agence Nationale de Recherche sur le Sida et les Hépatites Virales (ANRS)-Vespa2 study, a national study on a representative sample of PLWHIV conducted in France in 2011. The short form of the depression module of the World Health Organization's Composite International Diagnostic Instrument (CIDI-SF) was used to characterize the occurrence of an MDE during the previous year. MDE prevalence was assessed among the various groups of PLWHIV and compared with that in the general population, accounting for the sociodemographic characteristics of the two populations, using multivariate Poisson regression models. The same method was used to assess associated factors. Results: MDE prevalence was 28.1% among PLWHIV, ranging from 10.9 to 55.7% across groups. Compared with the general population by sex, regardless of sexual orientation and origin, MDE prevalence was 5.1-fold higher in HIV-infected men who have sex with men [95% confidence interval (CI) 3.9–6.6], 3.1-fold higher in non-sub-Saharan African (SSA) heterosexual men (95% CI 2.2–4.4), 1.6-fold higher in SSA migrant men (95% CI 0.9–2.6), 2.6-fold higher in non-SSA heterosexual women (95% CI 2.1–3.3), and 1.9-fold higher in SSA migrant women (95% CI 1.5–2.5). In the HIV-infected population, MDE was positively related to unemployment, material deprivation, disclosure, experience of discrimination, and untreated hepatitis C, and negatively related to age. Conclusions: The prevalence of depression varied across the different groups of PLWHIV, with levels much higher than in the general population. Moreover, there was a strong association with socioeconomic status and HIV experience.