Stigma is an important social determinant of health-seeking behavior; however, the nature and extent of its association with depression among people living with multidrug-resistant tuberculosis (MDR-TB) are not well-understood. We enrolled 200 microbiologically confirmed MDR-TB inpatients at a TB specialist hospital in KwaZulu-Natal Province, an area considered the epicenter for MDR-TB coinfection in South Africa. Four aspects of stigma and their association with major depression were assessed through individual interviews: 1) community and 2) patient perspectives toward TB, and 3) community and 4) patient perspectives toward HIV. A major depressive episode (MDE), HIV coinfection, and low income were significantly associated with greater stigma subscales. Based on an adjusted regression model, the MDE was the only factor independently associated with (all aspects of) stigma. These results indicate the potential utility of addressing stigma associated with the MDE as an important step in improving health-seeking behavior to promote adherence and retention in care.