Little is known about the psychometric properties of depression instruments among persons infected with HIV. We analyzed data from a large sample of patients in usual care in two US cities (n=1467) using the nine-item Patient Health Questionnaire (PHQ-9) from the PRIME-MD. The PHQ-9 had curvilinear scaling properties and varying levels of measurement precision along the continuum of depression measured by the instrument. In our cohort, the scale showed a prominent floor effect and a distribution of scores across depression severity levels. Three items had differential item functioning (DIF) with respect to race (African-American vs. white); two had DIF with respect to sex; and one had DIF with respect to age. There was minimal individual-level DIF impact. Twenty percent of the difference in mean depression levels between African-Americans and whites was due to DIF. While standard scores for the PHQ-9 may be appropriate for use with individual HIV-infected patients in cross-sectional settings, these results suggest that investigations of depression across groups and within patients across time may require a more sophisticated analytic framework.