Major depressive disorder is the most common neuropsychiatric complication in human immunodeficiency virus (HIV) infections and is associated with worse clinical outcomes. We determined if detectable cerebrospinal fluid (CSF) HIV ribonucleic acid (RNA) at threshold ≥50 copies/ml is associated with increased risk of depression. The CNS HIV Anti-Retroviral Therapy Effects Research (CHARTER) cohort is a six-center US-based prospective cohort with bi-annual follow-up of 674 participants. We fit linear mixed models (N = 233) and discrete-time survival models (N = 154; 832 observations) to evaluate trajectories of Beck Depression Inventory (BDI) II scores and the incidence of new-onset moderate-to-severe depressive symptoms (BDI ≥ 17) among participants on combination antiretroviral therapy (cART), who were free of depression at study entry and received a minimum of three CSF examinations over 2496 person-months follow-up. Detectable CSF HIV RNA (threshold ≥50 copies/ml) at any visit was associated with a 4.7-fold increase in new-onset depression at subsequent visits adjusted for plasma HIV RNA and treatment adherence; hazard ratio (HR) = 4.76, (95 % CI 1.58-14.3); P = 0.006. Depression (BDI) scores were 2.53 points higher (95 % CI 0.47-4.60; P = 0.02) over 6 months if CSF HIV RNA was detectable at a prior study visit in fully adjusted models including age, sex, race, education, plasma HIV RNA, duration and adherence of CART, and lifetime depression diagnosis by Diagnostic Statistical Manual (DSM-IV) criteria. Persistent CSF but not plasma HIV RNA is associated with an increased risk for new-onset depression. Further research evaluating the role of immune activation and inflammatory markers may improve our understanding of this association.