Few studies examine how depression and substance use interact to affect HIV control. In 14,380 persons with HIV (PWH), we used logistic regression and generalized estimating equations to evaluate how symptoms of depression interact with alcohol, cocaine, opioid, and methamphetamine use to affect subsequent retention in care, maintaining an active prescription for ART, and consistent virologic suppression. Among PWH with no or mild depressive symptoms, heavy alcohol use had no association with virologic suppression (OR 1.00 [0.95-1.06]); among those with moderate or severe symptoms, it was associated with reduced viral suppression (OR 0.80 [0.74-0.87]). We found no interactions with heavy alcohol use on retention in care or maintaining ART prescription or with other substances for any outcome. These results highlight the importance of treating moderate or severe depression in PWH, especially with comorbid heavy alcohol use, and support multifaceted interventions targeting alcohol use and depression.