Depression and substance use are significant obstacles to effective HIV care. Using data derived from a randomized controlled trial of persons with HIV who are homeless or marginally housed, this study assesses the utility of antidepressant treatment among persons with HIV, depression, and active substance use. Participants were diagnosed with depressive disorders and randomly assigned to receive directly observed therapy with fluoxetine or a referral to community mental health treatment. Assessments, conducted at baseline and every 3 months over a 9-month period, included the Hamilton Rating Scale for Depression, the Beck Depression Inventory II, and self-report of alcohol, crack, cocaine, heroin, or methamphetamine use in the past 90 days. To investigate the effect of antidepressant treatment in the setting of active substance use, the authors fit mixed-effects linear regression models to estimate the effect of directly observed fluoxetine on depressive symptom severity after stratifying by any alcohol use or any illicit drug use. To investigate whether alcohol use or illicit drug use moderated the antidepressant treatment response, the authors examined the interaction terms. The effect of directly observed fluoxetine treatment on depression symptom severity was statistically significant irrespective of alcohol use status. When stratified by illicit drug use status, the effect of directly observed fluoxetine treatment on depression symptom severity was statistically significant only among persons who did not use illicit drugs. The interaction terms were not statistically significant. This study found a benefit of antidepressant treatment in persons with HIV, depression, and alcohol use. In addition, this study found no evidence that either alcohol use or illicit drug use moderates the antidepressant treatment response. Altogether, these findings support the use of antidepressant medication in this population. The public health impact of research in this area is significant given the known adverse effects of depression on HIV-related health outcomes.