Background: Men who have sex with men (MSM) living with Human Immunodeficiency Virus (HIV) are more likely to suffer from depressive symptoms (depression hereafter). This is a comprehensive meta-analysis of the prevalence of depression in HIV-infected MSM. Methods: Relevant publications were systematically searched in PubMed, PsycINFO, EMBASE, Cochrane Library and Web of Science. Comparative and epidemiological studies with prevalence of depression as measured by the Center for Epidemiological Studies Depression Scale (CES-D) were included. The prevalence of depression was pooled using the random-effects model. Results: A total of 18 studies with 7653 MSM with HIV and 3395 MSM without HIV were included in the meta-analysis. The pooled prevalence of depression in MSM living with HIV was 43% (95%CI: 32%–53%). Compared to MSM without HIV, MSM living with HIV were more likely to be depressed (OR = 1.46, 1.05–2.03). Subgroup and meta-regression analyses revealed that different CES-D cut-off values and survey year had significant moderating effects on the prevalence of depression. Conclusions: Depression was common in MSM living with HIV. Considering the negative effects of depression on health outcomes and wellbeing, regular screening for depression and effective treatment and interventions should be developed for this vulnerable population.