This study examines gradients in depressive symptoms by socioeconomic position (SEP; i.e., income, education, employment) in a sample of men who have sex with men (MSM). Data were used from EXPLORE, a randomized, controlled behavioral HIV prevention trial for HIV-uninfected MSM in six U.S. cities (n = 4,277). Depressive symptoms were assessed using the Center for Epidemiologic Studies Depression scale (short form). Multiple linear regressions were fitted with interaction terms to assess additive and multiplicative relationships between SEP and depressive symptoms. Depressive symptoms were more prevalent among MSM with lower income, lower educational attainment, and those in the unemployed/other employment category. Income, education, and employment made significant contributions in additive models after adjustment. The employment-income interaction was statistically significant, indicating a multiplicative effect. This study revealed gradients in depressive symptoms across SEP of MSM, pointing to income and employment status and, to a lesser extent, education as key factors for understanding heterogeneity of depressive symptoms.