A retrospective cohort study was conducted to determine the predictive factors and the incidence of anxiety and depression in a cohort of patients followed in French Guiana. A total of 2315 patients were followed for a total of 9116 years of follow-up. The incidence rate of first observed depression was 1.89 per 100 person years. The incidence rate of first observed generalized anxiety was 1.27 per 100 person years. A single failure Cox proportional hazards model showed that patients diagnosed <1 year (Hazard ratio (HR)=4.15; 95% CI=1.15-14.9; P=0.029), patients treated <one year (HR=3.2; 95% CI=1.7-6.2; P<0.001), patients with anxiety (HR=37; 95% CI=19-72; P<0.001), females (HR=2.5; 95% CI=1.5-4; P<0.001), French citizens (HR=1.6; 95% CI=1.05-2.5; P=0.029), and patients with severe immunodeficiency (HR=3.7; 95% CI=1.7-7.8; P=0.001) were at increased risk of depression. For anxiety, recently diagnosed patients (HR=11.7; 95% CI=3.2-42; P<0.001) and females (HR=3; 95% CI=1.6-5.8; P=0.001) were at increased risk. The hazard function showed that there were three peaks for anxiety (2, 6, and 11 years) and depression (2, 7, and 14 years). Incidence of anxiety and depression in this HIV cohort is high. Knowledge of this pattern may help physicians be more vigilant to psychological distress at certain phases of life with HIV.