Stigma continues to have a negative effect on the care, treatment, and support of people living with HIV. This study presents baseline data from 825 participants taking part in a cohort study that collects data on the clinical profile and social determinants of health of people with HIV. We performed multivariate regression analysis to evaluate whether mastery and social support moderated the negative effect of stigma on depressive symptoms. Stigma was associated with depressive symptoms after controlling for potential demographic and clinical confounders. In addition, higher levels of mastery and social support were associated with lower levels of depression. However, only mastery moderated the negative effects of stigma on depressive symptoms. For individuals with high levels of mastery, greater exposure to stigma does not translate into greater distress. Interventions targeting the mental health concerns of people with HIV should increase their focus on improving people' sense of personal control.