In this paper, we introduce the Crowley–Martin functional response and nonlocal competition into a reaction–diffusion immunosuppressive infection model. First, we analyze the existence and stability of the positive constant steady states of the systems with nonlocal competition and local competition, respectively. Second, we deduce the conditions for the occurrence of Turing, Hopf, and Turing–Hopf bifurcations of the system with nonlocal competition, as well as the conditions for the occurrence of Hopf bifurcations of the system with local competition. Furthermore, we employ the multiple time scales method to derive the normal forms of the Hopf bifurcations reduced on the center manifold for both systems. Finally, we conduct numerical simulations for both systems under the same parameter settings, compare the impact of nonlocal competition, and find that the nonlocal term can induce spatially inhomogeneous stable periodic solutions. We also provide corresponding biological explanations for the simulation results.