HIV-infected pregnant women in sub-Saharan Africa are at risk for depression and alcohol abuse. Young women may be more vulnerable, but little is known about the psychosocial functioning of this population. We compared younger (18-24 years old) and older (≥25 years old) HIV-infected pregnant women initiating antiretroviral therapy (ART) in Cape Town, South Africa. Women were assessed on a range of psychosocial measures, including the Alcohol Use Disorders Identification Test and the Edinburgh Postnatal Depression Scale (EPDS). Among 625 women initiating ART, 16 % reported risky alcohol use and 21 % alcohol-related harm; these percentages were similar across age groups. When younger women were stratified by age, 37 % of 18-21 years old versus 20 % of 22-24 years old reported alcohol-related harm (p = 0.02). Overall, 11 % of women had EPDS scores suggesting probable depression, and 6 % reported self-harming thoughts. Younger women reported more depressive symptoms. Report of self-harming thoughts was 11 % in younger and 4 % in older women (p = 0.002). In multivariable analysis, age remained significantly associated with depressive symptoms and report of self-harming thoughts. Level of HIV-related stigma and report of intimate partner violence modified the association between age and depressive symptoms. Young HIV-infected pregnant women in South Africa were more likely to report depressive symptoms and self-harming thoughts compared to older women, and the youngest women reported the highest levels of alcohol-related harm. HIV-related stigma and intimate partner violence may be moderating factors. These findings have implications for maternal and infant health, underscoring the urgent need for effective targeted interventions in this vulnerable population.