Cognitive performance in people with HIV (PWH) may be affected by brain injury attributable to the infection itself, by other medical and psychiatric comorbidities (including major depressive disorder; MDD), and by psychosocial factors (e.g., education, food insecurity). We investigated effects of these variables on cognitive performance in a South African cohort of PWH with comorbid MDD and incomplete adherence to antiretroviral therapy (ART). We also examined (a) associations of depression severity with cognitive performance, and (b) whether improvement in depression led to improved cognitive performance. Participants (N = 105) completed baseline neuropsychological, psychiatric, and sociodemographic assessments. Subsequently, 33 were assigned to a cognitive-behavioural therapy for ART adherence and depression (CBT-AD) and 72 to standard-of-care treatment. Eight months post-baseline, 81 (n(CBT-AD) = 29) repeated the assessments. We investigated (a) baseline associations between sociodemographic, medical, and psychiatric variables and cognitive performance, (b) whether, from baseline to follow-up, depression and cognitive performance improved significantly more in CBT-AD participants, and (c) associations between post-intervention improvements in depression and cognitive performance. At baseline, less education (beta = 0.62) and greater food insecurity (beta = -0.20) predicted poorer overall cognitive performance; more severe depression predicted impairment in the attention/working memory domain only (beta = -0.25). From baseline to follow-up, depression decreased significantly more in CBT-AD participants (p = .017). Improvement over time in depression and cognitive performance was not significantly associated except in the attention/working memory domain (p = .026). Overall, factors associated with cognitive performance were unrelated to brain injury. We conclude that clinicians examining PWH presenting with cognitive difficulties must assess depression, and that researchers investigating cognitive impairment in PWH must collect information on psychosocial factors.