Sex work remains an important contributor to HIV transmission within early, advanced and regressing epidemics in sub-Saharan Africa, but its social and behavioral underpinnings remain poorly understood, limiting the impact of HIV prevention initiatives. This article systematically reviews the socio-demographics of female sex workers (FSW) in this region, their occupational contexts and key behavioral risk factors for HIV. In total 128 relevant articles were reviewed following a search of Medline, Web of Science and Anthropological Index. FSW commonly have limited economic options, many dependents, marital disruption, and low education. Their vulnerability to HIV, heightened among young women, is inextricably linked to the occupational contexts of their work, characterized most commonly by poverty, endemic violence, criminalization, high mobility and hazardous alcohol use. These, in turn, predict behaviors such as low condom use, anal sex and co-infection with other sexually transmitted infections. Sex work in Africa cannot be viewed in isolation from other HIV-risk behaviors such as multiple concurrent partnerships—there is often much overlap between sexual networks. High turn-over of FSW, with sex work duration typically around 3 years, further heightens risk of HIV acquisition and transmission. Targeted services at sufficiently high coverage, taking into account the behavioral and social vulnerabilities described here, are urgently required to address the disproportionate burden of HIV carried by FSW on the continent.