The utility of self-report measures in identifying those at risk for depressive disorder and the adverse impact of depression versus depressed mood and HIV serostatus on neuropsychological (NP) test performance were examined in a large sample (N = 243) of gay and bisexual African American men. Results indicate high rates of depression relative to recent population estimates, regardless of methodology, but that the use of standard cut-scores for self-report inventories may significantly overestimate psychiatric morbidity. Limited independent effects of serostatus or depression on NP test performance were observed. More importantly, a complex set of adverse effects of depression and its interaction with serostatus which varied according to the methodology used to assess depression were observed. These findings are discussed in light of ongoing controversy regarding the relative influence of depression on neuropsychological functioning among people living with HIV/AIDS.