OBJECTIVE: The objective of this study was to identify trajectories of depressive symptoms (DSs) during the first half of drug-sensitive pulmonary tuberculosis (PTB) treatment and examine their association with loss to follow-up (LTFU) in the second half. DESIGN: This study involved a secondary analysis of longitudinal data to identify potential trajectories of DS and their relationship with LTFU. SETTING: The study was conducted in first and second-level health centres located in San Juan de Lurigancho, Lima, Peru. PARTICIPANTS: Anonymised data from 265 individuals, including monthly measures of DSs from diagnosis to the completion of treatment, initiation of treatment for multidrug resistant TB, LTFU or death, were collected. RESULTS: Three trajectories were identified: 'declining', 'growth' and 'high'. These trajectories were observed in 182 (68.7%), 53 (20%) and 30 (11.3%) of the 265 individuals, respectively, during the first half of PTB treatment. Compared with those with a 'declining' trajectory, individuals with a 'growth' trajectory had a higher likelihood of experiencing LTFU during the second half of PTB treatment, after controlling for sociodemographic factors and at least weekly alcohol use (OR 3.9; 95% CI 1.09 to 13.97, p=0.036). CONCLUSIONS: The findings suggest that a trajectory of increasing DSs during the first half of PTB treatment is associated with a higher risk of LTFU during the second half.