Screening for depression may identify persons for HIV prevention services and to ensure linkage to care for ART and mental health. We assessed factors associated with depressive symptoms using multiple logistic regression among 15- to 29-year-old gay, bisexual or other men who have sex with men (MSM) and transgender women who have sex with men (TGW) attending HIV prevention clinics at Silom Community Clinic or Bangrak Hospital in Bangkok or Rainbow Clinic in Nakhon Sawan, Thailand. We defined depressive symptoms as a self-report of feelings of sadness that impacted daily life in the past one month. Among 192 MSM, 51 TGW, and 11 gender-questioning persons screened: 12.6% met the criteria for depression; 5.9% had new HIV diagnosis. Independently associated factors which increase the risk of depressive symptoms included: studying in a private school (AOR 7.17); experiencing any type of bullying (AOR 2.8); having a partner with HIV (AOR 4.1); and learning about the study from sources other than a friend (AOR 4.2). Given many youths had depressive symptoms, screening for depression and connection to mental health services would be beneficial in sexual health settings to meet the needs of HIV-vulnerable youth.