China lacks data demonstrating associations of cervical neoplastic lesions with CD4 T‐lymphocyte (CD4 cell) counts and antiretroviral therapy (ART) among HIV‐infected women, suggesting relevant investigations are needed. A total of 545 HIV‐infected women were enrolled in Yunnan, China, between 2011 and 2013. CD4 cell counts and ART were measured via medical records and cervical neoplastic lesions were measured by professional pathologists. Multivariable logistic models, which treated cervical intraepithelial neoplasia (CIN) 1+ and CIN2+ as outcomes, calculated adjusted odds ratio (aOR) of CD4 cell counts and ART. Subgroup analysis treating CIN1+ as the outcome was conducted by HIV infection duration (<4 vs ≥4 years), ethnicity (Han vs non‐Han), and study site (Mangshi vs Kunming). The prevalence of CIN1+ and CIN2+ was 17.4% and 7.3%, respectively. Overall, 243 (44.6%) women had CD4 cell counts ≥500 cell/μL, 187 (34.3%) used ART for less than 2 years, and 236 (43.3%) used ART for at least 2 years. We found inverse associations of CIN1+ with CD4 cell counts (≥500 compared to <500 cells/μL: aOR = 0.46, 95% CI = 0.27‐0.79) and ART use (<2 years: aOR = 0.43, 95% CI = 0.21‐0.87; ≥2 years: aOR = 0.54, 95% CI = 0.27‐1.10). Point estimates did not change substantially for CIN2+ but aORs of ART became nonsignificant. No significant interaction was observed for HIV infection duration. We found significant interaction between CD4 cell counts and ethnicity and study site in relation to CIN1+. Our study suggests potential protective effects of high CD4 cell counts against cervical neoplastic lesions among HIV‐infected women, whereas associations of ART are less consistent.