This study was conducted to assess the prevalence of depressive symptoms, sleep disturbances, and subjective cognitive complaints in patients with HIV receiving highly active antiretroviral therapy. Participants completed the "Center for Epidemiological Studies Depression Scale" (CES-D) and a questionnaire on sleep disturbances and subjective cognitive complaints. Mean age of the 799 participants was 43.7 years and 67% were men. Adjusted prevalence of CES-D was 35.4% (95% confidence interval [CI]: 32.0-38.7), with no significant differences between gender and age groups. Sleep disturbances were more prevalent in older versus younger participants (74.0% [95% CI: 70.4-77.7] versus 63.3% [95% CI: 56.8-69.8]). Cognitive complaints were more prevalent in women (52.3% [95% CI: 46.4-58.2]) when compared with men (48.2% [95% CI: 44.7-51.6]). Hepatitis C virus coinfection was a strong predictor of depressive symptoms. Male gender and detectable viral load were independent risk factors for sleep disturbance. A higher CES-D score was an independent risk factor for sleep disturbance and cognitive complaints.