Data on the course of major depressive disorder (MDD) among people living with HIV (PLWH) are needed to inform refinement of screening and interventions for MDD. This paper describes the incidence and persistence rate of MDD in PLWH in Uganda. 1099 ART-naïve PLWH attending HIV clinics in Uganda were followed up for 12 months. MDD was assessed using the DSM IV based Mini-International Neuropsychiatric Interview with a prevalence for MDD at baseline of 14.0 % (95 % CI 11.7-16.3 %) reported. Multivariable logistic regression was used to determine predictors of incident and persistent MDD. Cumulative incidence of MDD was 6.1 per 100 person-years (95 % CI 4.6-7.8) with significant independent predictors of study site, higher baseline depression scores and increased stress. Persistence of MDD was 24.6 % (95 % CI 17.9-32.5 %) with independent significant predictors of study site, higher baseline depression scores, and increased weight. Risks of incident and persistent MDD observed in this study were high. Potentially modifiable factors of elevated baseline depressive scores and stress (only for incident MDD) were important predictors of incident and persistent MDD.