Poor psychosocial health contributes to HIV risk behavior and reduced engagement in treatment and care. This study investigates depression and its correlates among 11,992 MSM recruited via respondent driven sampling in 12 cities across India using the Patient Health Questionnaire-9 and supplemented by analysis of qualitative research from 15 sites with 363 MSM. Overall prevalence of depression was 11 %, with substantial variation across sites and subgroups of MSM, and high prevalence of suicidal thoughts among depressed MSM. In multivariable analyses identification as a kothi (feminine sexual identity) [adjusted odds ratio (aOR) = 1.91], disclosure of being MSM to non-family (aOR = 1.7) and family (aOR = 2.4), disclosure of HIV-status (aOR = 5.6), and substance use were associated with significantly higher odds of depression. Qualitative results emphasized dire social consequences of disclosing MSM- and HIV-status, especially to family, including suicidality. Combination prevention interventions should include mental health services that address disclosure, suicidality, and substance use.