Among HIV-infected men, former smoking was associated with being aged ≥36 years (aOR = 1.57, 95% CI: 1.05–2.36), having higher income (≥4,000 RMB) (aOR = 1.21, 95% CI: 0.82–1.78), experiencing depression (aOR = 1.90, 95% CI: 1.26–2.87), having suicidal ideation (aOR = 1.53, 95% CI: 1.05–2.21), heterosexual transmission (aOR = 1.74, 95% CI: 1.10–2.75), and a CD4+ T cell count <350/μl (aOR = 1.55, 95% CI: 1.08–2.25). This evidence concerns the gene CD4 and major depressive disorder.