We conducted the first study to examine rates of sexual activity, sexual risk behaviors, sexual protective behaviors, injection drug use (IDU), needle sharing, and knowledge about HIV/AIDS among outpatients with severe mental illness (SMI) in Rio de Janeiro, Brazil. Using a measure with demonstrated reliability, we found that 42% of 98 patients engaged in vaginal or anal sex within the past three months. Comorbid substance use disorder was significantly associated with sexual activity. Only 22% of sexually active patients used condoms consistently, despite having better HIV knowledge than those who were sexually abstinent. Overall, 45% of patients reported not engaging in any HIV protective behaviors. There were no reports of drug injection. Adults with SMI in Brazil are in need of efficacious HIV prevention programs and policies that can sustain these programs within mental health treatment settings.