Prior research has suggested benefits of aerobic physical activity (PA) on cognition and brain volumes in HIV uninfected (HIV−) individuals, however, few studies have explored the relationships between PA and brain integrity (cognition and structural brain volumes) in HIV-infected (HIV +) individuals. Seventy HIV + individuals underwent neuropsychological testing, structural neuroimaging, laboratory tests, and completed a PA questionnaire, recalling participation in walking, running, and jogging activities over the last year. A PA engagement score of weekly metabolic equivalent (MET) hr of activity was calculated using a compendium of PAs. HIV + individuals were classified as physically active (any energy expended above resting expenditure, n = 22) or sedentary (n = 48). Comparisons of neuropsychological performance, grouped by executive and motor domains, and brain volumes were completed between groups. Physically active and sedentary HIV + individuals had similar demographic and laboratory values, but the active group had higher education (14.0 vs. 12.6 years, p = .034). Physically active HIV + individuals performed better on executive (p = .040, unadjusted; p = .043, adjusted) but not motor function (p = .17). In addition, among the physically active group the amount of physical activity (METs) positively correlated with executive (Pearson’s r = 0.45, p = 0.035) but not motor (r = 0.21; p = .35) performance. In adjusted analyses the physically active HIV + individuals had larger putamen volumes (p = .019). A positive relationship exists between PA and brain integrity in HIV + individuals. Results from the present study emphasize the importance to conduct longitudinal interventional investigation to determine if PA improves brain integrity in HIV + individuals.