Cholesterol efflux (CE) capacity has been inversely associated with atherosclerosis and may provide an insight on inflammation occurring in human immunodeficiency virus (HIV) individuals. We address this by studying CE in HIV patients at different stages of HIV disease progression. In this cross-sectional study, CE from ApoB-depleted plasma, lipids levels, viral load (VL), CD4+/CD8+ T-cells, high-sensitive C-reactive protein (hsCRP), and lipoprotein (a) were evaluated in untreated HIV-infected patients (UHIVs; n = 43), elite controllers (ECs; n = 8), HIV-exposed seronegative individuals (HESNs; n = 32), and healthy controls (HCs; n = 14). Among UHIVs, those with CD4+ <500 cells/mm3 presented the lowest significant CE, HDL cholesterol (HDL-C), and ApoAI levels. ECs showed similar HDL-C, ApoAI, and CE compared with HCs. Among UHIVs, CE positively correlated with CD4+ T-cell counts (Beta: 1.05; 95% CI: 1.02; 1.07), and for VL higher than 3.8 log, CE was inversely associated with VL (Beta: 0.70; 95% CI: 0.51; 0.95). Remarkably, HESNs presented higher CE (0.78 ± 0.14) than UHIVs (0.65 ± 0.17; P = 0.0005), but lower than HCs (0.90 ± 0.13; P = 0.009). hsCRP levels were highest in the UHIV group (0.45 ± 0.49). CE was sensitive to HIV disease progression. Low CE in HIV patients was associated with lower CD4+ T-cells and higher VL and hsCRP. CE was also lower in HESNs compared with HCs. Our results suggest that immune status secondary to HIV progression and exposure influence plasma HDL-CE capacity.