Retaining high-risk individuals is critical for HIV prevention trials. The current analyses examined predictors of trial dropout among HIV-infected men and women in a multi-site HIV prevention trial. Results indicated that dropouts (n = 74) were more likely to be younger, depressed, and not taking antiretroviral therapy (ART) than those who continued (n = 815). No other background, substance use, or transmission risk differences were found, suggesting no direct evidence of dropout bias on key outcomes. Efforts may be warranted for early detection and treatment of depression and for improving retention of younger participants and those not on ART.