Abstract Background Human immunodeficiency virus (HIV) infection is associated with depression. However, previous studies have not addressed familial factors. Methods Nationwide, population-based, matched cohort study of people with HIV (PWH) in Denmark between 1995 and 2021 who were matched on sex and date of birth with a comparison cohort randomly selected from the Danish population. Family-related factors were examined by inclusion of siblings of those in the cohorts. We calculated hazard ratios (HRs) for depression, receipt of antidepressants, electroconvulsive therapy (ECT), and suicide, as well as the yearly proportions of study cohorts with psychiatric hospital contact due to depression and receipt of antidepressants from 10 years before to 10 years after study inclusion. Results We included 5943 PWH and 59 430 comparison cohort members. Median age was 38 years, and 25% were women. We observed an increased risk of depression, receipt of antidepressants, ECT, and suicide among PWH in the 2 first years of observation (HR, 3.3; 95% confidence interval [CI]: 2.5–4.4), HR, 3.0 (95% CI: 2.7–3.4), HR, 2.8 (95% CI: .9–8.6), and HR, 10.7 (95% CI: 5.2–22.2), thereafter the risk subsided but remained increased. The proportions of PWH with psychiatric hospital contact due to depression and receipt of antidepressants were increased prior to and especially after HIV diagnosis. Risk of all outcomes was substantially lower among siblings of PWH than among PWH (HR for receipt of antidepressants, 1.1; 95% CI: 1.0–1.2). Conclusions PWH have an increased risk of depression. Family-related factors are unlikely to explain this risk.