Full text article. Also available at https://doi.org/10.1371/journal.pone.0193145Children and adolescents continue to have HIV/AIDS in southern Saharan Africa. Scaling up of HIV services has significantly improved access to ARV and consequently improved on morbidity and mortality related to HIV/AIDS including opportunistic infection. Despite the above efforts, non-communicable conditions including mental disorders such as depression have been observed to contribute to the burden of disabilities about which little is documented. This study, therefore, aimed to determine the magnitude of depressive symptoms and the associated factors among HIV-infected children and adolescents. The study was a matched case-control design involving 300 cases of HIV-infected children matched by age and sex against 600 uninfected controls. Systematic sampling technique was used to select the cases while multistage sampling technique was employed to identify villages/ streets purposive and sampling technique was employed to obtain participants from households. The overall prevalence of depressive symptoms among the cohort of 900 participants was found to be 12.9%, with 27% of HIV-infected and 5.8% of HIV-uninfected children and adolescents screened positive for depressive symptoms. Multiple logistic regression revealed that being HIV-infected (AOR 1.96(1.11–3.45)), residing in a rural setting (AOR 0.61(0.39–0.96)) and history of childhood deprivation (AOR 4.76 (2.79–8.13)) were significantly associated with depressive symptoms. HIV infected adolescents are more affected by depression compared to non-infected counterparts. Childhood deprivation was significantly associated with presence of depressive symptoms. Integration of mental health evaluation and treatment into the HIV care provided for adolescents can be beneficial. More studies to delineate factors associated with depressed adolescents with HIV may add value to the body of knowledge and overall improvement of care.