Access to antiretroviral (ARV) drugs is improving in sub-Saharan Africa but still constrained by several clinical and logistical obstacles. There is a need to develop affordable markers to guide initiation of treatment. We present a prospective cohort study of 779 patients participating in a TB prophylaxis trial. We performed separate analyses for anergic and nonanergic subjects. Prognostic factors for anergic and nonanergic subjects differed between groups. Individuals with anergy and constitutional symptoms were at the highest risk of death. Incident tuberculosis and CD4 < 200 cells/muL at enrollment were the strongest risk factors for death. HIV disease is associated with substantial morbidity and mortality in this population. The burden caused by tuberculosis is particularly high. Anergy is a strong and independent predictor of death. World Health Organization criteria to start ARV may be strengthened with the addition of DTH testing, an inexpensive and readily available tool in sub-Saharan Africa.