Objective: Research has suggested a weak association between depression and sexual risk behavior in men who have sex with men (MSM). The purpose of this study was to investigate the relationship between within-person fluctuations in depression and well-being and episodes of sexual risk-taking among HIV-positive MSM. Methods: One hundred six sexually active HIV-positive MSM living in New York City completed a structured weekly survey over 6 weeks. In Weeks 1, 3, and 5, they responded to items assessing their sexual behavior, depression, and well-being in the prior week. Multilevel logistic regression analyses were conducted to explore the relationship between changes in levels of depression and well-being, and episodes of unprotected anal intercourse (UAI). Results: Within-person deviations from participants’ average levels of depression and well-being were associated with the probability of risk. The probability of a risk episode was higher in weeks when depression was higher than participants’ average levels (any UAI episode: odd ratio [OR] = 1.71, 95% confidence interval [CI] [1.00, 2.90], p< .05; serodiscordant UAI episode: OR = 2.49, 95% CI [1.31, 4.73], p < .05). The probability of a risk episode was lower in weeks when well-being was higher than participants’ average levels (any UAI: OR = 0.40, 95% CI [0.22, 0.74], p < .05; serodiscordant UAI: OR = 0.42, 95% CI [0.22, 0.81], p < .05). Between-person differences in depression and well-being were not associated with risk episodes (ps >.05). Conclusion: This study is among the first to examine the association of within-person changes in depression and well-being with sexual risk behavior in a diverse sample. It contributes new evidence to literature exploring the relationship between depression and sexual risk. Future research should employ longitudinal designs to explore pathways linking within-person changes in depression with risk behavior.