The effects of stigma, social support, and depressive symptoms on health-related quality of life are well documented in the literature, but how these psychological factors interact with each other, and the combined effects when taken together on the health-related quality of life for people living with HIV, remain unclear. This cross-sectional study investigated 114 people living with HIV who were taking antiretroviral medication using the HIV/AIDS-related Stigma Scale (Chinese version), the Social Support Rating Scale, the Center for Epidemiological Studies Depression Scale, and the Medical Outcomes Study-HIV health survey. Multiple linear regression analyses were used to examine the mediation effect of the psychosocial factors on health-related quality of life. Results showed that stigma and social support did not have direct effects, but indirect effects on health-related quality of life through a full mediation effect of depressive symptoms. The results indicate that interventions targeting depression might be the most effective approach to improving health-related quality of life among people living with HIV who are taking antiretroviral medication in China.