The incidence of classical Hodgkin lymphoma (cHL) in the HIV-1 setting has increased 5–25-fold compared to that observed in the general population. This study aimed to determine whether selected micro RNAs (miRs) and other soluble biomarkers and cellular subsets are dysregulated in cHL and could be used as biomarkers. This was a retrospective and longitudinal matched case-control study of 111 Caucasian, HIV-1-infected adult individuals, including 37 individuals with cHL and 74 with no type of cancer. Immunovirological data, plasma exosome-derived miR-16, miR-20a, miR-21, miR-221, miR-223, miR-106a, miR-185, miR-23, miR-30d, miR-222, miR-146a and miR-324, plasma IL-6, sCD14, sCD27, sCD30, sIL-2R, TNFR1, and cell phenotyping of T and B lymphocytes and natural killer (NK) cells were analyzed. Before cHL diagnosis, miR-20a, miR-21, and sCD30 were higher in cHL (p = 0.008, p = 0.009 and p = 0.042, respectively), while miR-16 was down-regulated (p = 0.040). miR-20a and miR-21 were independently associated with cHL (p = 0.049 and p = 0.035, respectively). The combination of miR-20a and miR-21 showed a good AUC value of 0.832 with a moderate likelihood ratio positive (LR+) value of 5.6 and a slight likelihood ratio negative (LR−) value of 0.23. At cHL diagnosis, miR-20a, miR-21 and miR-324 were overexpressed in cHL (p = 0.005, p = 0.024, and p = 0.001, respectively), while miR-223, miR-16, miR-185 and miR-106a were down regulated (p = 0.042, p = 0.007, p = 0.006, and p = 0.002, respectively). In addition, sCD14, sCD27, sCD30 and IL2R levels were higher in these individuals (p = 0.038, p = 0.010, p = 0.030, p = 0.006, respectively). miR-20a was independently associated with cHL (p = 0.011). The diagnostic value of miR-20a showed good AUC value of 0.754 (p = 0.074) with a slight LR+ value of 2 and a slight LR− of 0.25. After chemotherapy, miR-20a was higher in those individuals who had an adverse outcome (p < 0.001), while sCD14 and sCD30 were higher (p < 0.001). A specific signature of miRs and cytokines associated with a subsequent cHL diagnosis was found in this study, especially miR-20a and miR-21. Also, another biomarker signature was found at cHL diagnosis, with a relevant discriminant disease value for miR-20a. Of note, miR-20a expression was higher in those individuals who had an adverse clinical outcome after chemotherapy.