Suboptimal antiretroviral adherence is associated with poorer HIV outcomes. Psychosocial factors, including life stress, depression and coping, may influence adherence behavior. This prospective investigation sought to examine the impact of life stress (acute life events, chronic stress, and perceived stress), depression, and coping style on adherence to HIV treatment regimes over time. Participants were 87 treatment-seeking HIV-infected individuals recruited from an urban HIV clinic. They completed clinician-administered interviews and self-report questionnaires at baseline and 3-month follow-up. Acute life events and chronic stress prospectively predicted decreases in treatment adherence more strongly among individuals in a major depressive episode (n = 21) compared to non-depressed individuals (n = 66). Coping style did not appear to be the mechanism by which life stress influenced adherence among depressed HIV-infected individuals. These findings demonstrate that life stress has toxic effects for depressed individuals and suggest that treatment adherence interventions with depressed individuals could be enhanced via development of stress management skills.