We collected data on socio-demographic characteristics (age, highest educational attainment, religion, food security, employment, income level, marital status and socio-economic status); psychiatric problems (major depressive disorder, suicidality and HIV-related neurocognitive impairment); psychosocial factors (maladaptive coping styles, negative life events, social support, resilience, HIV stigma); and clinical factors (CD4 counts, body weight, height, HIV clinical stage, treatment adherence). Here, CD4 is linked to major depressive disorder.