Importance: Depression commonly affects adults with HIV and complicates the management of HIV. Depression among individuals with HIV tends to be chronic and cyclical, but the association of this chronicity with HIV outcomes (and the related potential for screening and intervention to shorten depressive episodes) has received little attention. Objective: To examine the association between increased chronicity of depression and multiple HIV care continuum indicators (HIV appointment attendance, treatment failure, and mortality). Design, Setting, and Participants: The study comprised an observational clinical cohort of 5927 patients with 2 or more assessments of depressive severity who were receiving HIV primary care at 6 geographically dispersed US academic medical centers from September 22, 2005, to August 6, 2015. Main Outcomes and Measures: Missing a scheduled HIV primary care visit, detectable HIV RNA viral load (≥75 copies/mL), and all-cause mortality. Consecutive depressive severity measures were converted into a time-updated measure: percentage of days with depression (PDD), following established methods for determining depression-free days. Results: During 10 767 person-years of follow-up, the 5927 participants (5000 men, 926 women, and 1 intersex individual; median age, 44 years [range, 35-50 years]) had a median PDD of 14% (interquartile range, 0%-48%). During follow-up, 10 361 of 55 040 scheduled visits (18.8%) were missed, 6191 of 28 455 viral loads (21.8%) were detectable, and the mortality rate was 1.5 deaths per 100 person-years. Percentage of days with depression showed a dose-response relationship with each outcome. Each 25% increase in PDD led to an 8% increase in the risk of missing a scheduled appointment (risk ratio, 1.08; 95% CI, 1.05-1.11), a 5% increase in the risk of a detectable viral load (risk ratio, 1.05; 95% CI, 1.01-1.09), and a 19% increase in the mortality hazard (hazard ratio, 1.19; 95% CI, 1.05-1.36). These estimates imply that, compared with patients who spent no follow-up time with depression (PDD, 0%), those who spent the entire follow-up time with depression (PDD, 100%) faced a 37% increased risk of missing appointments (risk ratio, 1.37; 95% CI, 1.22-1.53), a 23% increased risk of a detectable viral load (risk ratio, 1.23; 95% CI, 1.06-1.43), and a doubled mortality rate (hazard ratio, 2.02; 95% CI, 1.20-3.42). Conclusions and Relevance: Greater chronicity of depression increased the likelihood of failure at multiple points along the HIV care continuum. Even modest increases in the proportion of time spent with depression led to clinically meaningful increases in negative outcomes. Clinic-level trials of protocols to promptly identify and appropriately treat depression among adults living with HIV should be conducted to understand the effect of such protocols on shortening the course and preventing the recurrence of depressive illness and improving clinical outcomes.