The Center for Epidemiological Studies-Depression Scale (CES-D) is the most widely used instrument to assess depressive symptoms in people living with HIV. However, its differential item functioning (DIF) by HIV status and sexual orientation has yet to be explored. This study examined DIF and measurement invariance of the CES-D using an item response theory (IRT) framework, and a more traditional factor analytic approach. Data from 841 HIV-infected and HIV-uninfected individuals, from Miami, Florida, were analyzed. Uniform DIF by HIV status was detected in Items 4, 12, and 16 from the Positive Affect factor. Nonuniform DIF was detected in Items 13 and 17. Uniform DIF by sexual orientation was detected in Items 2, 15, and 19, two of them from the Interpersonal factor. Nonuniform DIF was detected in Item 2. Using a factor analytic approach, the CES-D was invariant at the configural and metric levels by HIV and sexual orientation. These findings indicate that overall, however, using IRT, the magnitudes of DIF were negligible, the CED-D was somewhat invariant using factor analytic methods; the CES-D may be reliably used to compare by HIV status or sexual orientation.