Integrative mental health care in HIV patients is an important contributor to successful therapy. This is a cross-sectional study in youth and young adults who attend routine HIV clinic at a tertiary care centre in Bangkok. We recruited 100 youth and 130 young adults living with HIV to evaluate the frequency of depression and anxiety and associated sociodemographic including sexual orientation and health-related behaviours. Overall, about a fifth of the participants had significant depression or anxiety. Interestingly, we found different factors associated with depression in youth and young adults living with HIV. Loss of their father, loss of close relatives or friends, and being unemployed or school exclusion were the factors associate with depression in youth; while dangerous alcohol use, feeling discriminated against and having lipodystrophy were factors in young adults. The understanding of the frequency and different associated factors can inform more effective prevention and treatment strategies.