This observational study of 123 Thai participants sought to determine the rate and severity of affective symptoms during acute HIV infection (AHI) and possible associations to disease mechanisms. At diagnosis, just prior to starting combination antiretroviral therapy (cART), AHI participants completed assessments of depression and anxiety symptoms that were repeated at 4, 12, and 24 weeks. Blood markers of HIV infection and immune activation were measured at study entry, with optional cerebrospinal fluid measures. A high frequency of participants reported symptoms that exceeded published thresholds supportive of depression (55.0%) and anxiety (65.8%) at diagnosis, with significant reductions after starting cART. Meeting a threshold for clinically relevant depressive symptoms at study entry was associated with higher baseline plasma HIV RNA (5.98 vs. 5.50, t = 2.46, p = 0.015), lower CD4 counts (328 vs. 436 cells/mm3, t = 3.46, p = 0.001), and higher plasma neopterin, a marker of macrophage activation (2694 vs. 1730 pg/mL, Mann-Whitney U = 152.5, p = 0.011). Controlling for plasma HIV RNA and CD4 count, higher baseline plasma neopterin correlated with worse initial depression and anxiety scores. Depression and anxiety symptoms are frequent in acute HIV infection, associate with plasma immune activation, and can improve concurrent with cART