Background: In pregnancy, the body undergoes modulation of pro-inflammation responses to ensure fetal survival, and these adjustments may decrease maternal immune defenses and promote infections. Objectives: This study was conducted to determine interleukin 2 (IL-2), IL-10, and interferon gamma (IFN-γ) among pregnant women co-infected with HIV and Plasmodium falciparum in Edo State, Nigeria. Methods: This study was conducted at the Central Hospital, Benin City, Edo State. A total of 200 participants were enrolled, consisting of 150 pregnant women co-infected with HIV and P. falciparum and 50 non-pregnant women (as controls) who were neither infected with HIV nor P. falciparum. Venous blood specimen was collected for P. falciparum detection, CD4 T-lymphocyte estimation, and IL-2, IL-10, and IFN-γ assays using standard methods. Results: Among HIV-infected pregnant women, IL-2 (P = 0.0070), IL-10 (P = 0.0179) and IFN-γ (P = 0.1564) values were lower in primiparous women compared with multiparous women. HIV-infected pregnant women who were married had significantly higher IL-2 (P = 0.0085) and IFN-γ levels (P = 0.0332) compared with single women, while marital status did not affect the IL-10 level of pregnant women infected with HIV. Only the IL-2 levels of the HIV-infected pregnant women increased significantly (P = 0.0012) with increasing trimester. The tested cytokine levels were lower in those with malaria compared with those without malaria among HIV-infected pregnant women. Conclusions: The HIV status and not malaria infection affects the cytokine levels of pregnant women co-infected with HIV and malaria.