HIV antiretroviral therapy (ART) can increase safe sex or lead to disinhibition and less condom use. We conducted one of the first controlled studies of ART effects on sexual risk behavior in sub-Saharan Africa, and the potential explanatory roles of physical and mental health. Participants (302 non-ART, 300 ART) were followed for the first 12 months of HIV care in Uganda. Multivariate intention-to-treat regression analysis showed that frequency of sex increased significantly in both groups, but more among ART patients; when added to the model in separate analyses, changes in physical health functioning and depression were both significant predictors, as was time in HIV care, but there was no longer an ART effect. Both ART and non-ART groups had similar dramatic increases in consistent condom use over time; however, change in depression, unlike physical health functioning, was a significant predictor of consistent condom use when added to this model, and there remained a similar level of increased condom use among ART and non-ART patients. HIV care and ART increase sexual activity and condom use, but depression undercuts the prevention benefits of ART, highlighting the need to integrate mental health services into HIV care.