The human immunodeficiency virus (HIV) epidemic among adolescent girls and young women (AGYW) in sub-Saharan Africa is a critical public health problem. We assessed whether depressive symptoms in AGYW were longitudinally associated with incident HIV, and identified potential social and behavioral mediators. Data came from a randomized trial of a cash transfer conditional on school attendance among AGYW (ages 13 - 21) in rural Mpumalanga Province, South Africa during 2011-2017. We estimated the relationship between depressive symptoms and cumulative HIV incidence using a linear probability model, and assessed mediation using inverse odds ratio weighting. Inference was calculated using the non-parametric bootstrap. AGYW with depressive symptoms had higher cumulative incidence of HIV compared to those without (risk difference = 3.5 [95% CI 0.1, 7.0]). The strongest individual mediators of this association were parental monitoring and involvement (indirect effect = 1.6 [95% CI 0.0, 3.3]) and reporting a partner would hit her if she asked him to wear a condom (indirect effect = 1.5 [95% CI -0.3, 3.3]). All mediators jointly explained two-thirds (indirect effect = 2.4 [95% CI 0.2, 4.5]) of the association between depressive symptoms and HIV incidence. Interventions addressing mental health may reduce risk of acquiring HIV among AGYW.