Internalized stigma is common among individuals with sexually transmitted infections such as HIV and among those with mental health conditions such as major depressive disorder (MDD). As part of a cluster randomized trial, we investigated the prevalence and correlates of internalized stigma among adults living with comorbid HIV and MDD in rural Malawi (n = 339). We found heightened stigma toward HIV and mental illness among those in the cohort: more than half of respondents (54%) endorsed negative perceptions associated with each health condition. Internalized HIV-related stigma was higher among those with no education (p = 0.04), younger adults (p = 0.03), and those with less social support (p = 0.001). Mental illness-related stigma was elevated among those with no source of income (p = 0.001), and it was also strongly associated with HIV-related stigma (p < 0.001). Our findings highlight potential avenues for reducing internalized stigma associated with high-prevalence health conditions in Malawi.Trial registration: ClinicalTrials.gov identifier: NCT04777006.