Background: The diagnosis of HIV infection can cause mental disorders or exacerbate existing symptoms because of the stigma, psychological stress, and need for the self-management of the illness. The aim of this study was to determine the prevalence of anxiety and depression symptoms in people with HIV and to identify the associated factors. Methods: This is a cross-sectional study. A sample of 385 people living with HIV (PLWH) was interviewed using the Sociodemographic, Epidemiological, and Clinical Form; the Beck Anxiety Inventory; the Beck Depression Inventory; and Pittsburgh Sleep Quality Index. Univariate and multivariate logistic regression analysis were performed. The odds ratio and 95% confidence interval were calculated. Results: The prevalence of anxiety was 27.1% and depression was 39.8%. Being female (P = 0.0227), antiretroviral therapy (ART) for 8 years or less (P = 0.0042), and having depression (P < 0.0001) were associated with the occurrence of anxiety. Having a detectable viral load (P = 0.0476), not exercising regularly (P = 0.0070), and having sleep disorders (P = 0.0001) and anxiety (P < 0.0001) were associated with depression. Retired and on leave or sick pay were, respectively, 2.67 and 3.90 times more likely to have depression than those who were employed. Conclusions: A considerable percentage of PLWH have anxiety and depression symptoms. Being female, less than 8 years of ART, and depression are associated with anxiety, while detectable viral load, not practicing physical exercise, having sleep disorders, anxiety, and being retired or on leave or sick pay are associated with depression. The study showed important data for health interventions by members of the multidisciplinary team for PLWH.