Delayed engagement in HIV care threatens the success of HIV treatment programs in sub-Saharan Africa and may be influenced by depression. We examined the relationship between depression prior to HIV diagnosis and engagement in HIV care at a primary care clinic in Johannesburg, South Africa. We screened 1683 patients for depression prior to HIV testing using the Patient Health Questionnaire-9. Among patients who tested positive for HIV we assessed linkage to HIV care, defined as obtaining a CD4 count within 3 months. Among those who linked to care and were eligible for ART, we assessed ART initiation within 3 months. Multivariable Poisson regression with a robust variance estimator was used to assess the association between depression and linkage to care or ART initiation. The prevalence of HIV was 26 % (n = 340). Among HIV-infected participants, the prevalence of depression was 30 %. The proportion of linkage to care was 80 % among depressed patients and 73 % among patients who were not depressed (risk ratio 1.08; 95 % confidence interval 0.96, 1.23). Of the participants who linked to care, 81 % initiated ART within 3 months in both depressed and not depressed groups (risk ratio 0.99; 95 % confidence interval 0.86, 1.15). Depression was not associated with engagement in HIV care in this South African primary care setting. Our unexpected findings suggest that some depressed HIV-infected patients might be more likely to engage in care than their counterparts without depression, and highlight the complex relationship between depression and HIV infection. These findings have led us to propose a new framework relating HIV infection, depression, and the population under study.