We conducted a longitudinal and cross-sectional analysis of depressive symptomology in iPrEx, a randomized, placebo-controlled trial of daily, oral FTC/TDF HIV pre-exposure prophylaxis (PrEP) in men and transgender women who have sex with men. Depression-related adverse events (AEs) were the most frequently reported severe or life-threatening AEs and were not associated with being randomized to the FTC/TDF arm (152 vs. 144 respectively OR 0.66 95 % CI 0.35–1.25). Center for Epidemiologic Studies Depression scale (CES-D) and a four questions suicidal ideation scale scores did not differ by arm. Participants reporting forced sex at anal sexual debut had higher CES-D scores (coeff: 3.23; 95 % CI 1.24–5.23) and were more likely to have suicidal ideation (OR 2.2; 95 % CI 1.09–4.26). CES-D scores were higher among people reporting non-condom receptive anal intercourse (ncRAI) (OR 1.46; 95 % CI 1.09–1.94). We recommend continuing PrEP during periods of depression in conjunction with provision of mental health services.