Background: Depression is common and a problem of public health importance worldwide. In Nigeria, clinical depression has been reported to be the most common mental illness among people living with HIV/AIDS (PLWHA). Assessment of the burden of depression and the coping skills of PLWHA is believed to be crucial to the prevention and control of the problem among them. This study was conducted to determine the depression status, behavioral lifestyle and coping strategies among PLWHA in Sokoto, Nigeria. Materials and Methods: This was a cross-sectional study among 419 PLWHA (selected by systematic sampling technique) attending the ART clinic of Usmanu Danfodiyo University Teaching Hospital, Sokoto, Nigeria. A structured interviewer-administered questionnaire was used to collect data on the research variables. Data were analyzed using IBM SPSS version 20 statistical computer software package. Results: Majority, 227 (54.2%) of the 419 respondents had depression, and different forms of unhealthy dietary habits were prevalent among them (≥ 70.0%). Only 84 (20.0%) and 147 (30.3%) of the 419 respondents perform regular moderate exercise and moderate intensity work respectively. Males had higher depression levels, while females had better coping skills, but the differences were not significant (p > 0.05). Conclusion: This study showed high prevalence of depression and unhealthy behavioral lifestyle, with use of both adaptive and maladaptive coping skills among PLWHA in Sokoto, Nigeria. Care providers should design gender sensitive interventions for preventing depression and maladaptive coping strategies among PLWHA.