Depressive symptoms have been shown to independently affect both antiretroviral therapy (ART) adherence and HIV clinical outcomes in high-income countries. We examined the prospective relationship between depressive symptoms and adherence, virologic failure, and suppressed immune function in people living with HIV/AIDS in Tanzania. Data from 403 study participants who were on stable ART and engaged in HIV clinical care were analyzed. We assessed crude and adjusted associations of depressive symptoms and ART adherence, both at baseline and at 12 months, using logistic regression. We used logistic generalized estimating equations to assess the association and 95% confidence intervals (CI) between depressive symptoms and both virologic failure and suppressed immune function. Ten percent of participants reported moderate or severe depressive symptoms at baseline and 31% of participants experienced virologic failure (>150 copies/ml) over two years. Depressive symptoms were associated with greater odds of reported medication nonadherence at both baseline (Odds Ratio [OR] per 1-unit increase = 1.18, 95% CI [1.12, 1.24]) and 12 months (OR = 1.08, 95% CI [1.03, 1.14]). By contrast, increases in depressive symptom score were inversely related to both virologic failure (OR = 0.93, 95% CI [0.87, 1.00]) and immune system suppression (OR = 0.88, 95% CI [0.79, 0.99]), though the association between depressive symptoms and clinical outcomes was less precise than for the association with nonadherence. Findings indicate a positive association between depressive symptoms and nonadherence, and also an inverse relationship between depressive symptoms and clinical outcomes, possibly due to informative loss to follow-up.