The All of Us (AoU) Research Program is a national-scale effort to build a dataset to help transform the future of health research by equipping researchers with comprehensive health data from diverse populations, especially those underrepresented in biomedical research. Our objectives were to evaluate the burden of HIV and major depressive disorder (MDD) in underrepresented groups and the frequency of the HIV/MDD comorbidity. We conducted a cross-sectional analysis combining collected survey and electronic health record (EHR) data. We ascertained HIV and MDD cases using Observational Medical Outcomes Partnership codes. We used multivariable logistic regression to obtain the odds ratio of HIV in AoU participants and MDD in AoU participants with HIV. The latest AoU data release includes 412 211 participants: 254 700 have at least one medical condition concept in their EHR, of whom 5193 (1.3%) had HIV, and 2238 (43%) of those with HIV had a diagnosis of MDD. Black AoU participants had approximately 4.58 times the odds of having an HIV diagnosis compared with the combined odds of all other racial groups. AoU participants with HIV were more likely to have MDD (p = 0.001) than were participants without HIV. Among AoU participants, Black individuals have a disproportionately high burden of HIV, pointing to underlying factors such as social determinants of health, limited access to healthcare or prevention resources, and potential systemic biases that contribute to these differences. In addition, HIV is a risk factor for mental health issues like MDD. Further data collection from people with HIV will elucidate contributing factors and the need for interventions.