Major depressive disorder is common among women living with HIV than their counterparts. The illness is associated with deleterious outcomes including antiretroviral therapy resistance, increased opportunistic infections, mortality, and increased socioeconomic burden to the individual, family, and society. Hence, investigating the prevalence of the illness and its risk factors among women living with HIV is important for further interventions. A health-facility based cross-sectional study was conducted at Machakos Level 5 and Kangundo Level 4 Hospitals, Kenya. Data was collected using a structured standardized scale and a researcher-generated questionnaire. Convenience sampling was used to select 313 participants. The prevalence of major depressive disorder was 35.5%. Inferential analysis revealed that attending religious service of some sort, financial constraint, alcohol use, and perception of health status as fair were risk factors for major depressive disorder (p’s˂0.05). Ministry of Health should routinely screen all women living with HIV for depressive symptoms and intervene early to avert further complications.