Oral pre-exposure prophylaxis (PrEP) is highly efficacious but low adherence undermines effectiveness. Depression, common in African women, may be a barrier to consistent PrEP use. We aimed to assess the relationship between depression, psychosocial mediators, and PrEP adherence among South African women. We analyzed data from 174 South African women in HPTN 067, an open-label oral PrEP trial conducted from 2011 to 2013. Participants were followed for 24 weeks. PrEP adherence was measured via Wisepill and weekly self-report interview data. We considered participants "adherent" at week 24 if Wisepill and interviews indicated that >/= 80% of expected doses were taken in the prior month. Elevated depressive symptoms were assessed using the 20-item Center for Epidemiological Studies-Depression (CES-D) scale. We used marginal structural models to estimate the effect of elevated symptoms at baseline on PrEP adherence at week 24 and to assess whether the direct effect changed meaningfully after accounting for mediating effects of stigma, social support, and PrEP optimism. High PrEP adherence occurred less often among women with elevated depressive symptoms (N = 35; 44.3%) compared with those without (N = 52; 54.7%; adjusted relative risk [aRR]: 0.79; 95% confidence interval [CI] 0.63-0.99). The effect of elevated depressive symptoms on PrEP adherence persisted in models accounting for the mediating influence of stigma (aRR: 0.74; 95% CI 0.51-0.97) and PrEP optimism (aRR: 0.75; 95% CI 0.55-0.99). We also found a direct effect of similar magnitude and direction when accounting for social support as the mediating variable, although this adjusted relative risk estimate was not statistically significant (aRR: 0.77; 95% CI 0.57-1.03). Depressive symptoms were common and associated with lower PrEP adherence among South African women. Future work is needed to determine whether depression services integrated with PrEP delivery could improve PrEP effectiveness among African women.