Major depressive disorder (MDD) is one of the most common psychiatric disorders affecting people with HIV (PWH). Many studies show the prevalence of this disorder to be substantially higher in PWH than in the general population. Recent research has attributed the development of depressive-like symptoms to the dysregulation of the hypothalamic-pituitary-adrenal (HPA) axis, the body’s main stress response system. In this study, we investigated the potential role of the HPA axis in contributing to the development of depression in PWH. To do this, we semi-quantified FKBP51, microglial marker Iba1, and the serotonin transporter (SERT) in post-mortem tissues of PWH with and without MDD through immunohistochemistry analysis using positive cell detection and signal intensity quantification in QuPath and ImageJ. HIV-positive (HIV+) individuals with MDD showed a downregulation of FKBP51 expression in the frontal cortex, hippocampus, and midbrain relative to their MDD-negative (MDD-) counterparts. No significant differences in the levels of Iba1 or SERT were found in any brain region stained. How the downregulation of FKBP51 is associated with the development of MDD in PWH needs to be further studied.