Background and Objectives: Depression as major psychological sequelea of the HIV/AIDS infection has continued to attract investigation. With few studies in Nigeria, it is unclear whether levels of perceived stigma, sexual risk behaviors, and anticipated discrimination are differentially associated with severity of depression. Materials and Methods: The present study using a multivariate design investigated the role of stigma, anticipated discrimination, self-esteem, HIV-related factors (e.g., drug use combination, knowledge of duration of HIV diagnosis) and socio demographic factors (e. g., multiple spouse, age, gender, and ethnicity) in depression among people living with HIV/AIDS (PLWHA) on follow-up management in three tertiary hospitals in Nigeria. Five hundred and two (187 [ 37.3%] males and 315 [62.7%]females) HIV/AIDS patients participated in the study. Results: Mean age and mean time in months since diagnosis were 36.73 +/- 9.38 and 19.42 +/- 23.12, respectively. Three variables: Ethnicity, anticipated discrimination, and HIV-related stigma were related to severity of depression at (P < 0.05). Multinomial logistic regression analyses showed that being from Yoruba (odds ratio [ OR] = 0.25; 95% confidence interval [CI] = 0.145-0.441), or Igbo extraction (OR = 0.43; 95% CI = 0.214-0.873) reduces the risk of reporting severity of depression by 25% and 43%, respectively. Moreover, low perceived HIV-related stigma (OR = 0.59; 95% CI = 0.355-0.966) and low anticipated discrimination (OR = 0.54; 95% CI = 0.319-0.914) reduced the risk of reporting symptoms of severe depression by 59% and 54%, respectively. Conclusion: Intervention to reduce the severity of depression should consider cultural specificity in its design and also evolve educational programs that incorporate discrimination and stigma in managing depression among PLWHAs.