The authors examined the impact of HIV, cognitive dysfunction, and depression on decision-making. HIV+ (N=100) and HIV− (N=26) participants were administered a comprehensive neuropsychological battery, a modified version of the Iowa Gambling Task, and a measure of depressive symptoms. HIV+ participants demonstrated more difficulties in learning the gambling task than did HIV− participants. Executive functioning and depression emerged as strong predictors of gambling task performance. Depression partially mediated the relationship between executive functioning and gambling performance. Our findings suggest that HIV infection, executive dysfunction, and depression place individuals at risk for poor decision-making.