The current study was designed to examine the trend of depression among children affected by HIV (n = 1,221) in rural China over a period of 3 years and to explore baseline psychosocial factors that can predict depressive symptoms at 1- and 2-year follow-ups. Baseline depression score, trusting relationship with caregivers, perceived public stigma against children affected by HIV, and future expectation at baseline positively predicted the 1-year follow-up depression, while children’ self-report health status, self-esteem, and perceived social support negatively predicted depression at 1-year follow-up survey. Depression and self-report health status at baseline significantly predicted depression at the 2-year follow-up. The data in the current study suggested that depressive symptoms were chronic or recurring among some children affected by HIV/AIDS. The findings also underscore the importance of early identification, early intervention, and ongoing counseling for mental health problems among children affected by HIV/AIDS. Future psychological support programs need to target both mental health symptoms and resilient factors that will help these children to cope with adverse life events associated with HIV/AIDS.