We determined the frequency and correlates of current common mental disorders (CMDs) in a consecutive series of 649 adult patients with human immunodeficiency virus (HIV), tuberculosis (TB) or both receiving treatment at 16 primary health care centres across Zambia. Data on socio-demographic variables, clinical disease features, anxiety and mood disorders were collected. The frequency of any anxiety disorder (AD) was 30.8% and major depressive disorder (MDD) 11.3%. Although differences by disease group did not reach statistical significance, rates of suicidality (34.8%) and panic disorder (4.1%) were highest for the TB-HIV group (n = 269), while rates of generalised AD (13.3%), obsessive compulsive disorder (7.6%), posttraumatic stress disorder (7.4%) and any AD (37.8%) were highest for the HIV group (n = 149). Female gender (p = 0.004) predicted any current AD as well as current suicidality (p = 0.009), while lower education status (p < 0.001) predicted current MDD. World Health Organisation (WHO) clinical staging and antiretroviral treatment status were not significantly associated with MDD or anxiety in the HIV and co-infected groups. This study indicates the importance of early identification of CMDs in TB, HIV and co-infected patients, especially women and uneducated patients, newly initiated on treatment in primary care settings.