The presence of human immunodeficiency virus (HIV) infection increases the risk of acquiring human papillomavirus (HPV) infection and developing HPV‐related adversities. We aimed to estimate the cost‐effectiveness of HPV vaccination for women living with HIV in a Chinese setting. A decision‐analysis Markov model was developed to estimate the cost‐effectiveness of 36 HPV vaccination strategies for women living with HIV aged 18–45 years, from the healthcare system perspective. With the status quo, not vaccinating women living with HIV would lead to 51.99% (51,985/100,000) HIV‐related deaths; 35.10% (35,098/100,000) would develop genital warts, 0.36% (355/100,000) develop cervical cancer, and among which 63.66% (226/355) die from cervical cancer over their lifetime (1,601,457 person‐years). With a willingness to pay (WTP) threshold of three times gross domestic product (GDP), Gardasil 4 vaccination for all women living with HIV aged 18–45 years was the most cost‐effective strategy (ICER = US $32,766/QALY gained). This strategy would reduce genital warts by 35.52% (12,467/35,098), cervical cancers by 12.96% (46/355), and cervical cancer deaths by 12.39% (28/226) over the lifetime of the cohort. If the future domestic Cecolin 9 vaccine is priced at 60% of Gardasil 9, vaccinating all women living with HIV aged 18–45 years with Cecolin 9 would be the most cost‐effective strategy (ICER = US $30,493/QALY gained). Improving adherence to antiretroviral therapy for HIV may substantially improve the cost‐effectiveness of both Gardasil 4 and Cecolin 9 vaccination.