Chemsex is common among gay, bisexual and other men who have sex with men (gbMSM). Although not always categorised as problematic, a link with psychological distress has been reported and might be exacerbated amongst gbMSM living with HIV, as HIV has been associated with anxiety and depression. A cross-sectional online survey of gbMSM living with HIV (n = 359) was performed incorporating the Hospital Anxiety and Depression Scale and sociodemographic variables including, HIV characteristics, chemsex and sexual behaviours. Logistic regression analysis was used to find associations with anxiety or depression. Many participants engaged in chemsex (48.5%, n = 174). Chemsex was associated with lower odds of depression (aOR 0.45, 95% CI 0.23-0.85) and not associated with anxiety (aOR 0.66, CI 0.40-1.09). Although chemsex is a public health concern; we found it was associated with lower levels of depression in gbMSM living with HIV. However, causal inference is not possible, as gbMSM with higher levels of depression might engage in chemsex less.