The correlation between mental health and sexual risk behaviours for HIV infection remains largely unknown in low and middle income settings. The present study determined the prevalence of psychological distress (PD) in a sub-Saharan African population with a generalized HIV epidemic, and investigated associations with HIV acquisition risk and uptake of HIV services using data from a cross-sectional survey of 13,252 adults. PD was measured using the Shona Symptom Questionnaire. Logistic regression was used to measure associations between PD and hypothesized covariates. The prevalence of PD was 4.5% (95% CI 3.9–5.1%) among men, and 12.9% (95% CI 12.2–13.6%) among women. PD was associated with sexual risk behaviours for HIV infection and HIV-infected individuals were more likely to suffer from PD. Amongst those initiated on anti-retroviral therapy, individuals with PD were less likely to adhere to treatment (91 vs. 96%; age- and site-type-adjusted odds ratio = 0.38; 95% CI 0.15, 0.99). Integrated HIV and mental health services may enhance HIV care and treatment outcomes in high HIV-prevalence populations in sub-Saharan Africa.