We conducted a longitudinal study of 797 human immunodeficiency virus (HIV)-positive women (7732 visits) and 389 HIV-negative women (3651 visits) to characterize anemia. At enrollment, the prevalence of anemia was 28.1% among HIV-positive women and 15.1% among HIV-negative women (P<.0001), and during follow-up the cumulative incidence of anemia was 74% and 48%, respectively (P<.0001). Risk factors for anemia were African American race (odds ratio [OR], 2.15; 95% confidence interval [CI], 1.73-2.69), age (per 5-year increase; OR, 1.12; 95% CI, 1.03-1.21), body mass index (OR, 0.96; 95% CI, 0.94-0.97), history of pneumonia (OR, 1.41; 95% CI, 1.20-1.65), oral candidiasis (OR, 1.42; 95% CI, 1.22-1.66), CD4+ lymphocyte count <200 cells/microL (OR, 1.68; 95% CI, 1.46-1.94), history of fever (OR, 1.42; 95% CI, 1.13-1.80), and zidovudine use (OR, 1.14; 95% CI, 1.01-1.30). Anemia was common and associated with an increased risk of death (hazards ratio, 1.64; 95% CI, 1.21-2.23) among HIV-positive women.