Depression is a significant mental health concern globally. Among people living with HIV/AIDS (PLHIV), depressive symptoms are particularly prevalent, and this can impact the effective management of the disease. Nigeria ranks fourth in the global HIV/AIDS burden. Several factors have been associated with the development of depression among PLHIV. This study aimed to explore the prevalence of depression among PLHIV and its association with socio-demographic characteristics to enhance disease management and patient care. A hospital-based, cross-sectional study was conducted at the anti-retroviral therapy (ART) clinic of Bingham University Teaching Hospital (BHUTH), Jos Nigeria. Using a simple random sampling, adults living with HIV/AIDS receiving treatment at the ART clinic from September to December 2022 were recruited. The Patient Health Questionnaire-9 (PHQ-9) and a socio-demographic questionnaire were used. Data analysis was performed using SPSS version 26 and the level of significance was set at a p-value of 0.05. Five hundred and ninety-two (592) patients participated. There was a predominance of females (421, 71.1%). More than half (341, 57.6%) of participants were married. One hundred and ninety-four (32.8%) of them had attained a tertiary level of education. A 44.9% prevalence rate of depression was found. Participants with mild depression were 191 (32.2%), while 59 (10.0%) were moderately depressed, 12 (2.0%) had moderately severe depression, and 4 (0.7%) were severely depressed. There was a significant association between depression and the participants’ age (χ2 = 26.58, p = 0.04), gender (χ2 = 8.02, p = 0.03), occupation (χ2 = 24.04, p = 0.02), and educational level (χ2 = 28.79, p = 0.03). This study highlights the significant prevalence of depression and its severity among adults living with HIV/AIDS and identifies some socio-demographic factors associated with depression. It is therefore crucial to adequately integrate mental health care into the management program of PLHIV to curtail the menace of depression.