The present study was designed to examine the impact of neuropsychological performance on the relationships between stress, social support, and depression in 217 HIV-infected men. Using path analysis, the contributions of four domains of cognitive functioning (memory, attention, executive function, and psychomotor speed), IQ, and relevant psychosocial variables to depression were evaluated. In the model which best fit the data, cognitive domains did not contribute directly to depression, but contributed significantly to psychosocial variables which affected levels of depression. Attention and executive function contributed to reduced illness-related disability; while higher IQ was associated with fewer stressful life events. Number of stressful life events and level of illness-related disability were associated with depressive symptoms. Higher IQ led to greater numbers of social contacts, which was associated with fewer reported symptoms of depression. These findings suggest that better neuropsychological performance may lead to reduced stress and perceived disability, and more available social contacts. By these multiple paths, different domains of cognitive ability contribute indirectly to ameliorating depression in HIV-infected men. (JINS, 2002, 8, 436–447.)