Background: Evidence about the effect of initiating efavirenz-containing combination antiretroviral therapy (ART) as the first-line therapy on suicidal thoughts remains conflicting. Methods: Using data from a cohort of HIV-infected adults enrolled in routine care across 5 sites in the United States, we included participants with a baseline patient-reported outcome measure and detectable viral load who initiated ART between 2011 and 2014. Participants were followed until the earliest of the following: first suicidal thoughts, discontinuation of initial ART regimen, death, loss to care (>12 months with no HIV appointments), or administrative censoring (2014-2015). Suicidal thoughts were measured using a Patient Health Questionnaire-9 item. We used weighted marginal structural Cox models to estimate the effect of initiating efavirenz-containing ART, versus efavirenz-free ART, on the hazard of active or passive suicidal thoughts after ART initiation, accounting for confounding by channeling bias. Results: Overall, 597 participants were followed for a median of 19 months (13, 132 total person-months); 147 (25%) initiated efavirenz-containing ART. At ART initiation, 38% of participants reported suicidal thoughts or depressive symptoms. Initiating efavirenz-based ART was associated with a hazard ratio (HR) for suicidal thoughts below the null in the crude analysis [HR, 0.88; 95% confidence interval (CI): 0.53 to 1.45] and above the null in the weighted analysis (HR, 1.21; 95% CI: 0.66 to 2.28). Among those with a prior mental health issue, the weighted HR was 1.76 (95% CI: 0.45 to 6.86). Conclusions: After accounting for measured channeling bias, we observed no strong evidence that initiating efavirenz-containing ART increased the hazard of suicidal thoughts.