The rate at which HIV-1 infected individuals progress to AIDS is highly variable and impacted by T cell immunity. CD8 T cell inhibitory molecules are up-regulated in HIV-1 infection and associate with immune dysfunction. We evaluated participants (n = 122) recruited to the SPARTAC randomised clinical trial to determine whether CD8 T cell exhaustion markers PD-1, Lag-3 and Tim-3 were associated with immune activation and disease progression. Expression of PD-1, Tim-3, Lag-3 and CD38 on CD8 T cells from the closest pre-therapy time-point to seroconversion was measured by flow cytometry, and correlated with surrogate markers of HIV-1 disease (HIV-1 plasma viral load (pVL) and CD4 T cell count) and the trial endpoint (time to CD4 count <350 cells/μl or initiation of antiretroviral therapy). To explore the functional significance of these markers, co-expression of Eomes, T-bet and CD39 was assessed. Expression of PD-1 on CD8 and CD38 CD8 T cells correlated with pVL and CD4 count at baseline, and predicted time to the trial endpoint. Lag-3 expression was associated with pVL but not CD4 count. For all exhaustion markers, expression of CD38 on CD8 T cells increased the strength of associations. In Cox models, progression to the trial endpoint was most marked for PD-1/CD38 co-expressing cells, with evidence for a stronger effect within 12 weeks from confirmed diagnosis of PHI. The effect of PD-1 and Lag-3 expression on CD8 T cells retained statistical significance in Cox proportional hazards models including antiretroviral therapy and CD4 count, but not pVL as co-variants. Expression of 'exhaustion' or 'immune checkpoint' markers in early HIV-1 infection is associated with clinical progression and is impacted by immune activation and the duration of infection. New markers to identify exhausted T cells and novel interventions to reverse exhaustion may inform the development of novel immunotherapeutic approaches.