Background: Mental health problems are common among older people living with HIV and associated with poorer health outcomes. Social capital is an important determinant of mental health problems but under-studied in this population. This study investigated the association between social capital and mental health problems among older people living with HIV in China. Methods: The study was based on the baseline data of a cohort study investigating mental health among older people living with HIV in Sichuan, China during November 2018 to February 2019. Participants were people living with HIV aged ≥50 years living in Sichuan province. Stratified multi-stage cluster sampling was used to recruit participants from 30 communities/towns; 529 out of 556 participants being approached completed the face-to-face interview. Social capital was measured by two validated health-related social capital scales: the Individual and Family scale and the Community and Society scale. Presence of probable depression (CES-D-10 score ≥ 10) and probable anxiety (GAD-7 score ≥ 5) were used as dependent variables. Two-level logistic regression models were applied to examine the association between social capital and probable depression/anxiety. Results: The prevalence of probable depression and probable anxiety was 25.9% (137/529) and 36.3% (192/529), respectively. After adjusting for significant covariates, the individual/family level of social capital was inversely associated with both probable depression (odds ratios (OR): 0.89, 95% CI: 0.84-0.93, p < 0.001) and probable anxiety (OR: 0.90, 95% CI: 0.86-0.95, p < 0.001). The community/society level social capital was associated with probable depression (OR: 0.91, 95% CI: 0.84-0.99, p < 0.001) but not probable anxiety (p > 0.05).