For people living with HIV (PLHIV) who can access lifesaving treatment, HIV has become a chronic lifelong condition; however, PLHIV have more mental and somatic comorbidities than their HIV-negative peers. In this cross-sectional study, we assessed the prevalence of mental distress and identified factors associated with major depression among 244 well-treated PLHIV residing in Norway. Participants completed validated questionnaires covering mental and somatic health. The prevalence of mental distress, defined as a score on the Hopkins Symptom Check List-25 >1.75, was 32%, and that of symptoms of major depression, defined as a score on the Beck Depression Inventory-II ≥20, was 15%. The factors associated with major depressive symptoms identified using logistic regression were risk of drug abuse (adjusted odds ratio (AOR) 15.1, 95% confidence interval (CI) 3.28, 69.3), fatigue (AOR 12.5, 95% CI 3.90, 40.0), trouble sleeping (AOR 7.90, 95% CI 2.85, 21.9), African origin (AOR 3.90, 95% CI 1.28, 11.9), low education (AOR 3.31, 95% CI 1.18, 9.30), and non-disclosure (AOR 3.22, 95% CI 1.04, 10.0). Our findings indicate that the prevalence rates of mental distress and major depressive symptoms are higher among well-treated PLHIV residing in Norway than in the general population. These conditions are under-diagnosed and under-treated, and increased awareness is needed.