Background: Anxiety and depression continue to be significant comorbidities for people with HIV infection. We investigated the prevalence of and factors associated with anxiety and depression among adult HIV-infected patients across China. Methods: In this cross-sectional study, we described clinical and psychosocial variables related to depression and anxiety in 4103 HIV-infected persons. Doctors assessed anxiety and depression by asking patients whether they had experienced anxiety or depression in the prior month. Patients also self-administered the Hospital Anxiety and Depression (HAD) scale; those with score ≥8 on HAD-A/D were considered to be at high risk of anxiety or depression. Results: Associations between socio-demographic, psychosocial, and ART-related clinical factors and risk of depression or anxiety were investigated using multivariable logistic regression. Among patients assessed between 9/2014 and 11/2015, 27.4% had symptoms of anxiety, 32.9% had symptoms of depression, and 19.0% had both. Recentness of HIV diagnoses (P = 0.046) was associated with elevated odds of anxiety. Older age (P = 0.004), higher educational attainment (P < 0.001), employment (P = 0.001), support from family / friends (P < 0.001), and sleep disturbance (P < 0.001), and number of ART regimen switches (P = 0.046) were associated with risk of depression, while neither sex nor transmission route showed any associations. There were no significant associations with HIV-specific clinical factors including current CD4+ T cell count and current viral load. Conclusions: Prevalence of symptoms of anxiety and depression is high in this cohort of treatment-experienced HIV patients. Psychological and social-demographic factors, rather than HIV disease status, were associated with risk of depression and anxiety. This finding highlights the need to deliver interventions to address the mental health issues affecting HIV-infected persons with fully successful immune restoration across China.