The Beck Depression Inventory (BDI) is often used to screen individuals for symptoms of major depressive disorder (MDD). Yet, its effectiveness in correctly discriminating between MDD cases and non-cases among individuals seeking HIV testing has not been investigated. We report on the effectiveness of the BDI-I in predicting caseness for MDD with the Structured Clinical Interview for the DSM (SCID) as a gold standard. A total of 500 HIV test-seekers were recruited at five non-medical testing sites in the Western Cape, South Africa. Receiver operating characteristic curve analysis was used to determine the extent to which the screening instrument was able to discriminate between MDD caseness or non-caseness. The SCID-based prevalence of MDD was 14.4%. The BDI-I predicted MDD with 67% sensitivity and 67% specificity, with an area under the curve (AUC) of 77%. The positive and negative predictive values were 0.25 and 0.92, respectively. Even though the BDI-I is often used to screen large numbers of people for depression, especially in psychiatric and medical settings, its ability to predict MDD is limited. Persons screening positive for MDD may still require evaluation with a clinical interview by a trained professional to be diagnosed with depression.