Depression and cognitive impairment, which commonly coexist in people with HIV (PWH), have been identified as potential barriers to optimal antiretroviral therapy (ART) adherence. We investigated associations between cognitive performance, depression (as well as other sociodemographic, psychosocial and psychiatric variables) and ART adherence in a South African cohort of PWH with comorbid major depressive disorder (MDD). Cognitive performance and ART adherence were assessed at two time points 8 months apart (N_baseline = 105, N_follow-up = 81). Adherence was indicated by self-report, objective measures (Wisepill usage and plasma tenofovir-diphosphate levels), and HIV viral suppression. Mixed-effects regression models examined associations across both time points. Univariate models detected no significant associations between cognitive performance (globally and within-domain) and ART adherence. Multivariate modelling showed increased depression severity (β = − 0.54, p < 0.001) and problematic alcohol use (β = 0.73, p = 0.015) were associated with worse adherence as measured subjectively. Being female (OR 0.27, p = 0.048) and having better global cognitive performance (OR 1.83, p = 0.043) were associated with better adherence as indicated by viral suppression. This study identifies poor global cognitive performance, as well as depression and problematic alcohol use, as potential barriers to optimal ART adherence in PWH and comorbid MDD. Hence, clinicians could consider assessing for cognitive deficits, depression, and problematic alcohol use, and should endeavour to provide the appropriate support so as to improve adherence.