Despite effective antiretroviral therapy (ART), people living with HIV (PLWH) still present persistent chronic immune activation and inflammation. This condition is the result of several factors including thymic dysfunction, persistent antigen stimulation due to low residual viremia, microbial translocation and dysbiosis, caused by the disruption of the gut mucosa, co-infections, and cumulative ART toxicity. All of these factors can create a vicious cycle that does not allow the full control of immune activation and inflammation, leading to an increased risk of developing non-AIDS co-morbidities such as metabolic syndrome and cardiovascular diseases. This review aims to provide an overview of the most recent data about HIV-associated inflammation and chronic immune exhaustion in PLWH under effective ART. Furthermore, we discuss new therapy approaches that are currently being tested to reduce the risk of developing inflammation, ART toxicity, and non-AIDS co-morbidities.