Food insecurity, internalized HIV stigma, and depressive symptoms are independently associated with poor HIV outcomes. Food insecurity, stigma, and depression may be interrelated among women living with HIV (WLHIV). We hypothesized that food insecurity would be independently associated with internalized stigma and depressive symptoms among WLHIV in the United States (US), and would partially account for associations between stigma and depressive symptoms. We tested hypotheses using regression models and partial correlation analysis with cross-sectional data among 1317 WLHIV from the Women’s Interagency HIV Study. In adjusted models, greater food insecurity was associated with internalized HIV stigma and depressive symptoms (all p < 0.05), exhibiting dose-response relationships. Food insecurity accounted for 23.2% of the total shared variance between depressive symptoms and internalized stigma. Food insecurity is associated with depressive symptoms and internalized HIV stigma among US WLHIV, and may play a role in the negative cycle of depression and internalized stigma.