Background: Women living with human immunodeficiency virus (HIV), WLWHs, are at high risk of developing anal cancer associated with high-risk human papilloma virus infection (HR-HPV). We analyzed the prevalence of anal HR-HPV infection and abnormal anal cytology in a cohort of WLWHs and assessed the risk factors for anal HR-HPV infection. Methods: We present a single-center, observational cross-sectional study. WLWHs who underwent anal cytology and anal human papilloma virus (HPV) testing were selected. High-resolution anoscopy was performed in cases of abnormal anal cytology. All suspicious lesions were biopsied. A univariate and multivariate logistic regression model was used to analyze risk factors for abnormal anal screening. The results are presented as odds ratios (ORs) and 95% confidence intervals (CIs). Results: In total, 400 WLWHs were studied. Of them, 334 met the eligibility criteria and were enrolled in the study. Abnormal anal cytology was detected in 39.5% of patients, and anal HR-HPV in 40.1%, with HPV 16 in 33 (26.6%) of them. Concomitant HR-HPV cervical infection was the only independent risk factor for HR-HPV anal infection (OR 1.67 95% CI, p < 0.001). Conclusions: WLWHs have a high prevalence of HR-HPV anal infection and anal cytologic abnormalities. HR-HPV cervical infection is the main predictor of HR-HPV anal infection.