Objective The purpose of this study was to estimate the prevalence and examine the predictors of depression in patients with systemic lupus erythematosus (SLE). Methods This cross-sectional study was conducted in the rheumatology clinic of a university hospital. All SLE patients that met the revised American College of Rheumatology (ACR) classification were included in the study. Sociodemographic data and medications were recorded. Disease activity for SLE was assessed with the Mexican-SLE Disease Activity Index (Mex-SLEDAI). All subjects were screened for anxiety and depression by using the Hamilton Anxiety Rating Scale (HAM-A) and the 17-item version of the Hamilton Depression Rating Scale (HAM-D17). Multiple linear regression analyses were used to determine predictors of depressive disorder. Results A total of 62 SLE (61 females and 1 male) patients participated in the study. Based on HAM-D17 and HAM-A, rates of depression and anxiety in SLE patients were 45.2% and 37.1%, respectively. The multiple linear regression analysis revealed that HAM-A score and younger age were significant predictors of depression in SLE patients. Conclusion The findings suggest that depression and anxiety are common in SLE patients. In addition, higher levels of anxiety and a younger age may increase the risk of depression. Because of the small sample size, further studies should be conducted to confirm these results.