OBJECTIVES: The aim of this analysis is to: (i) assess the prevalence of clinically significant depressive symptoms at baseline and follow-up for participants in the PROUD trial of HIV pre-exposure prophylaxis (PrEP), examining changes in prevalence over time and (ii) investigate the association of socioeconomic and psychosocial factors with depression. METHODS: PROUD was an open label randomised trial evaluating the benefit of PrEP for 544 HIV-negative gay, bisexual and other men who have sex with men (GBMSM) in England. Enrolment was between 2012 and 2014, with at least 2 years follow-up. Prevalence of depression (score ≥10 on Patient Health Questionnaire-9) was assessed and compared across time-points (using McNemar's χ2 tests) and between trial arms (using χ2 tests). Cross-sectional associations with socioeconomic and psychosocial factors were examined using baseline data in modified Poisson regression models and combined 12 and 24 month follow-up data in generalised estimating equations (GEEs). Prevalence ratios (PRs) were presented as unadjusted PR and adjusted PR (aPR) for age, UK birth, sexual identity, university education, London study clinic site and calendar time (and follow-up time-point in GEEs). RESULTS: Depression increased significantly from baseline (9.1%; 49/540) to the 12 month (14.4%; 59/410) and 24 month (14.4%; 48/333) follow-ups, possibly explained by underreporting at baseline. The prevalence of depression did not differ by study trial arm, at any time-point. In the baseline analysis, younger age, unemployment and crystal methamphetamine use, was associated with depression. In combined analysis of 12 and 24 month data, measures of intimate partner violence (IPV) (lifetime IPV victimisation aPR 2.57 (95% CI: 1.71 to 3.86)), internalised homophobia (aPR 1.91 (95% CI: 1.29 to 2.83)) and concealment of sexual identity (aPR 1.75 (95% CI: 1.16 to 2.65)), were strongly associated with depression. CONCLUSIONS: There is a high concomitant burden of psychosocial factors with depression among GBMSM. TRIAL REGISTRATION NUMBER: ISRCTN (ISRCTN94465371) and ClinicalTrials.gov (NCT02065986).