A heightened risk of mood disorders, such as major depression, and acute depressive symptoms has been observed among HIV-seropositive individuals since the start of the AIDS epidemic, and an accumulating body of data now shows that depression may have an impact on morbidity and mortality among individuals with HIV disease. Although the specific physiologic mechanisms involved in this process have not been delineated, there is some evidence to suggest that certain components of innate immunity, including killer lymphocytes such as CD8+ T lymphocytes and natural killer cells, may represent key pathways through which depression affects HIV disease progression. This paper reviews some of the main studies examining the effects of depression on immunity and HIV disease progression and discusses the potential role of killer lymphocytes as an underlying mechanism by which depression may impact morbidity and mortality.