Little is known about the mental health of female sex workers and women living with HIV/AIDS in the Dominican Republic, which impedes HIV prevention, testing, and treatment. This project estimates the prevalence of depression and identifies key contributing factors to this outcome in female sex workers, women living with HIV/AIDS, and a comparison group. Participants were female sex workers (N = 349), women living with HIV/AIDS (N = 213), and a comparison group of HIV-negative women who were not sex workers (N = 314) from the Dominican Republic. Participants completed questionnaires assessing demographic characteristics and depression. Female sex workers and women living with HIV/AIDS completed additional questionnaires ascertaining HIV or sex work-related internalized stigma. Depression was prevalent among female sex workers (70.2%), women living with HIV/AIDS (81.1%), and the comparison group (52.2%). Adjusted logistic regressions showed that internalized stigma was associated with depression for female sex workers (OR = 2.73; 95% CI = 1.95–3.84) and women living with HIV/AIDS (OR = 3.06; 95% CI = 1.86–5.05). Permanent income was associated with this outcome for female sex workers (OR = 0.08; 95% CI = 0.01–0.80) and the comparison group (OR = 0.04; 95% CI = 0.00–0.45).