Depressive symptoms negatively impact the lives of HIV-infected individuals and are correlated with faster progression to AIDS. Our embedded mixed methods study examined and described the effects of telephone support on depressive symptoms in a sample of HIV-infected pregnant Thai women. HIV-infected pregnant Thai women (n = 40) were randomly assigned to either the control or the intervention group. A registered nurse provided telephone support to the intervention group. Depressive symptoms were measured at three points in both groups. In-depth interviews were conducted at Time 2 and Time 3. Results show that depressive symptoms in the intervention group decreased over time. Qualitative results describe how telephone support can work, but also reveal that telephone support did not work for everyone. We recommend that a larger mixed methods study be conducted to examine the effects of telephone support on depressive symptoms among HIV-infected women, including the costs and benefits of such support.