We investigated depression in relationship to sexual risk behaviour with primary partners among HIV-positive clients in Uganda. Baseline data were analyzed from a cohort of clients starting antiretroviral therapy. The Patient Health Questionnaire (PHQ-9) was used to classify depressive severity (none, minor and major depression) and symptom type (cognitive and somatic). Condom use was assessed over the past six months and during the last episode of sexual intercourse. A total of 386 participants had a primary sex partner, with whom 41.6% always used condoms during sex over the past six months, and 62.4% during last sex. Use of a condom during last sex was associated with having no depression and lower PHQ-9 total and cognitive and somatic subscale scores in bivariate analyses; most of these relationships were marginally significant for intercourse over the past six months. Controlling for demographics, HIV disclosure and partner HIV status, only minor depression was associated with unprotected sex. Depressive symptoms, even if not a clinical disorder, warrant early detection and treatment for promoting HIV prevention among HIV-affected couples.