Depression and anxiety are common among persons recently diagnosed with HIV infection. We examined whether depression or anxiety was associated with delayed initiation of antiretroviral therapy (ART) among a prospective cohort of Chinese men who have sex with men (MSM) who were newly diagnosed with HIV. The Hospital Anxiety and Depression Scale (HADS) was used for measuring depression and anxiety, with scores of 0-7, 8-10, and 11-21 representing normal, borderline, and likely, respectively. ART initiation information was extracted from the National ART Database. Cox regression was performed to assess associations between HADS scores and the time to ART initiation. Of 364 eligible participants enrolling in the cohort within a median of 11 days after HIV diagnosis, 62% initiated ART during the 12-month follow-up period. The baseline prevalence for likely/borderline depression was 36%, and likely/borderline anxiety was 42%. In adjusted analyses, compared with a depression score of 0, the likelihood of starting ART was 1.82 [95% confidence interval (CI): 1.38-2.41], 3.11 (95% CI: 1.82-5.30), and 2.53 (95% CI: 1.48-4.32) times higher for depression scores of 3, 9, and 13, respectively. A similar pattern was observed for the anxiety score. In contrast to our hypothesis, both depression and anxiety were associated with earlier ART initiation among Chinese MSM with newly diagnosed HIV. We speculate that individuals who are more concerned about their new HIV diagnosis may be more likely to seek HIV care and follow a doctor's advice. The effects of depression or anxiety on ART initiation likely differ in varying subgroups and by symptom severity.