Background: Little is known regarding the association between physical fitness and anthropometric parameters in HIV-diagnosed children and adolescents. Therefore, this study aimed to investigate the association between anthropometric parameters and physical fitness in this population. Methods: A cross-sectional study was conducted with HIV-diagnosed children and adolescents (aged 5–15 years). Body composition was assessed by anthropometric measurements and dual-energy X-ray absorptiometry, cardiorespiratory fitness by peak oxygen consumption (VO2peak), muscle strength/endurance by handgrip strength, standing broad jump, abdominal and modified push-up tests, and flexibility using the sit-to reach test. Linear regression analyses (simple and multiple) were applied to investigate the association between anthropometric parameters and physical fitness. Results: In total, 86 children and adolescents (mean age: 11.44 ± 2.20 years) participated in the study. A significant association was observed between anthropometric parameters, whereby the sum of four skinfolds could explain 69% of the fat mass percentage and 30% of VO2peak; the sum of two bone diameters could explain 70% of fat-free mass, 55% of bone mineral content, and 43% of bone mineral density; calf skinfold and subscapular skinfold tests could explain the distance of standing broad jump, and the number of modified push-ups explained 16% of the standing broad jump and 19% of the modified push-up test results. Conclusions: Adding the measurements of four skinfolds and two bone diameters to a follow-up routine can provide relevant information regarding fat accumulation, bone development, cardiorespiratory fitness, and muscle strength/endurance status in HIV-diagnosed children and adolescents, supporting decision-making and measures for the adequate development of this population.