Background: Mental health is a critical and neglected public health problem for adolescents in sub-Saharan Africa. In this paper we aim to determine the prevalence of depressive symptoms and the association with HIV risk behaviours in adolescents aged 15-19 years in Zambia and SA. Methods: We conducted a cross-sectional survey from August-November 2017 in seven control communities of HPTN 071 (PopART) trial (a community-randomised trial of universal HIV testing and treatment), enrolling approximately 1400 eligible adolescents. HIV-status was self-reported. Depressive symptoms were measured with the Short Mood and Feelings Questionnaire (SMFQ), with a positive screen if adolescents scored ≥12. We fitted a logistic regression model to identify correlates of depressive symptoms with subgroup analyses among those who self-reported ever having had sex, by gender and country. Results: Out of 6997 households approached, 6057 (86.6%) were enumerated. 2546 adolescents were enumerated of whom 2120 (83.3%) consented to participate and were administered the SMFQ. The prevalence of depressive symptoms was 584/2120 (27.6%) [95%CI: 25.7%-29.5%]. Adolescents in SA were less likely to experience depressive symptoms (Adjusted Odds Ratio [AOR] = 0.63 (95% CI: 0.50, 0.79), p-value<0.0001). Female adolescents (AOR = 1.46 (95% CI: 1.19, 1.81), p-value<0.0001); those who reported ever having sex and being forced into sex (AOR = 1.80 (95% CI: 1.45, 2.23), p-value<0.001) and AOR = 1.67 (95% CI: 0.99, 2.84); p-value = 0.057 respectively) were more likely to experience depressive symptoms. Among 850 (40.1%) adolescents who self-reported to ever having had sex; those who used alcohol/drugs during their last sexual encounter were more likely to experience depressive symptoms (AOR = 2.18 (95% CI: 1.37, 3.47); p-value = 0.001), whereas those who reported using a condom were less likely to experience depressive symptoms (AOR = 0.74 (95% CI: 0.55, 1.00); p-value = 0.053). Conclusion: The prevalence of depressive symptoms among adolescents ranged from 25-30% and was associated with increased HIV-risk behaviour.