Objectives Chronic oxidative stress (OS) may play a role in cardiovascular disease in HIV‐infected patients, and increased bilirubin levels may have a beneficial role in counteracting OS. Atazanavir (ATV) inhibits UDP‐glucuronosyl‐transferase 1A1 (UGT1A1), thus increasing unconjugated bilirubin levels. We aimed to compare changes in OS markers in patients on ATV/ritonavir (ATV/r)‐ vs. efavirenz (EFV)‐based first‐line antiretroviral therapy (ART). Methods A multicentre, prospective cohort study of HIV‐infected patients who started first‐line ART with either ATV/r or EFV was conducted. Lipoprotein‐associated phospholipase A2 (Lp‐PLA2), myeloperoxidase (MPO) and oxidized low‐density lipoprotein (oxLDL) were measured for 145 patients in samples obtained at baseline and after at least 9 months of ART during which the initial regimen was maintained and the patient was virologically suppressed. The change in OS markers was modelled using multiple linear regressions adjusting for baseline values and confounders. Results After adjustment for baseline variables, patients on ATV/r had a significantly greater decrease in Lp‐PLA2 estimated difference −16.3; 95% confidence interval (CI) −31.4, −1.25; P = 0.03 and a significantly smaller increase in OxLDL (estimated difference −21.8; 95% CI −38.0, −5.6; P < 0.01) relative to those on EFV, whereas changes in MPO were not significantly different (estimated difference 1.2; 95% CI −14.3, 16.7; P = 0.88). Adjusted changes in bilirubin were significantly greater for the ATV/r group than for the EFV group (estimated difference 1.33 mg/dL; 95% CI 1.03, 1.52 mg/dL; P < 0.01). Changes in bilirubin and changes in OS markers were significantly correlated. Conclusions When compared with EFV, ATV/r‐based therapy was associated with lower levels of oxidative stress biomarkers, which was in part attributable to increased bilirubin levels.