Autoimmune hemolytic anemia (AIHA) may be frequently challenged by infectious complications, mainly as a result of immunosuppressive treatments administered. Furthermore, infectious agents are known triggers of AIHA onset and relapse. Although being risk factors for mortality, infections are an underestimated issue in AIHA. This review will collect the available evidence on the frequency and type of infectious complications in AIHA, detailing the risk related to each treatment (i.e., steroids, rituximab, splenectomy, classic immunosuppressive agents, and new target drugs). Moreover, we will briefly discuss the infectious complications in AIHA secondary to other diseases that harbor an intrinsic infectious risk (e.g., primary immunodeficiencies, systemic autoimmune diseases, lymphoproliferative disorders, solid organ and hematopoietic stem cell transplants). Finally, viral and bacterial reactivations during immune suppressive therapies will be discussed, along with suggested screening and prophylactic strategies.