This study examined the relationships between behavioural inhibition (BI), anxiety disorders, depression and CD4 counts in 456 HIV-infected adults attending primary healthcare HIV clinics in South Africa. Our first hypothesis was that BI would be positively correlated with anxiety disorders and with depression. Our second hypothesis was that BI, anxiety disorders and depression would be negatively correlated with CD4 counts. Participants completed the Retrospective Self-Report of Childhood Inhibition scale (RSRCI), the Center for Epidemiologic Studies Depression scale (CES-D) and the Mini-International Neuropsychiatric Interview (MINI). We found that BI was positively correlated with depression, agoraphobia, social phobia (social anxiety disorder) and posttraumatic stress disorder (PTSD). In addition, we found that BI, anxiety disorders and depression were not associated with CD4 counts. Finally, we found no gender effects for BI, depression, CD4 counts or any anxiety disorder diagnosis. While BI was linked to certain anxiety disorders, we found no evidence to suggest that BI, a diagnosis of an anxiety disorder, and/or depressive symptoms were associated with CD4 counts among HIV-positive adults.