In major depressive disorder (MDD) and remitted MDD (rMDD) alterations in cortisol and inflammation are associated with cognitive difficulties, but these relationships have not been investigated in HIV. We used secondary data from a placebo-controlled, cross-over study of cognitive performance following a probe of the hypothalamic-pituitary-adrenal (HPA) axis (low dose hydrocortisone; LDH 10 mg) in 65 people with HIV (PWH; 36 women). Using placebo data, we examined sex-specific associations between two biomarkers - basal afternoon salivary cortisol and salivary inflammatory cytokines - cognition, and rMDD. Salivary cortisol and inflammatory biomarkers were sampled across the 5 -h study. The panel of inflammatory markers included interleukin (IL)-6, IL-8, IL-1β, tumor necrosis factor-(TNF)-α, CRP, interferon gamma-induced protein (IP-10), monocyte chemotactic protein (MCP)-1, monokine induced by interferon (MIG), matrix metalloproteinase MMP-9, and MMP-1. Learning, memory, attention/concentration, and executive function were assessed 30 min and 4 h after the placebo intervention; visuospatial ability was also assessed 30 min after the placebo intervention. For women but not men with HIV, basal cortisol concentrations were higher in rMDD versus noMDD groups, and related to poorer learning and memory. For men and women with HIV, basal inflammatory cytokines were higher in rMDD versus noMDD groups, but were negatively related to cognition independent of rMDD status. Cortisol and cytokines relate to cognition in PWH, but the associations depended on sex, rMDD status, and their interaction.