This is a prospective observational comparative 48-week study to assess the impact of the different types of Peg-IFN on depressive and neuropsychiatric symptoms during treatment in HIV-HCV coinfected patients. Thirty-one patients treated with Peg-IFN alpha-2b 1.5 microg/kg/w plus ribavirine (RBV) (Peg-IFN alpha-2b Group) and 32 patients receiving Peg-IFN alpha-2a 180 microg/w plus RBV (Peg-IFN alpha-2a Group) were included. Depressive and neuropsychiatric symptoms, quality of life and adherence were assessed. Fifteen subjects (23%) discontinued therapy (p = 0.3, between groups). Overall, 37 patients presented mild to moderate depressive symptoms, 9 moderate to severe and 3 severe, without differences between groups. Patients in Peg-IFN alpha-2b reported higher fatigue and dizziness at weeks 12 (p < 0.05) and 24 (p < 0.05), and irritability and memory loss at week 24 (p < 0.05) with respect to Peg-IFN alpha-2a Group. At week 12, role functioning, general health perception, vitality, emotional role, mental health and the summary areas of physical health and mental health were lower in Peg-IFN alpha-2b Group (p < 0.05). The same was observed in physical functioning (p = 0.05) and role functioning, general health perception, emotional role and mental health (p < 0.001) at week 24. Three months after finishing treatment, no patient had depressive or neuropsychiatric symptoms, and quality of life improved. Antiretroviral adherence was low but adherence to anti-HCV therapy remained high in both groups. According to our data, Peg-IFN alpha-2a and Peg-IFN alpha-2b exert a similar impact on the overall rate of depressive symptoms, although patients treated with Peg-IFN alpha-2a experience less fatigue and fewer neuropsychiatric symptoms and a lower impairment in their physical and mental quality of life.