Prior studies have shown that weight may impact immune cell counts. However, few data exist about the relationship of weight and immune cell counts among HIV-infected patients. We examined documented HIV seroconverters (mean window, 15.7 months) in a prospective U.S. Military HIV Natural History Study (1 January 1986 to 20 January 2010). We estimated the association of the time-updated body mass index (BMI) category with changes in immune cell counts from HIV diagnosis across time (mean follow-up of 5.1 years) using multiply adjusted longitudinal linear mixed-effects models. Of 1,097 HIV seroconverters, 448 (41%) were overweight and 93 (8%) were obese at HIV diagnosis. Immune cell counts at HIV diagnosis did not significantly differ by BMI category. In the longitudinal models for those diagnosed before the advent of the highly active antiretroviral therapy (HAART) era, mean postdiagnosis decreases in the white cell count, total lymphocyte count, CD4 count, CD4 percentage, and CD4/CD8 ratio were less as the BMI category increased (all with P values of <0.05). Among HIV seroconverters diagnosed in the HAART era, obese compared to normal-weight patients had significantly smaller increases in CD4 counts, CD4 percentages, and the CD4/CD8 ratio (all with P values of <0.05). Similar findings were also noted among underweight versus normal-weight patients. In conclusion, although BMI was not associated with immune cell levels at the time of HIV diagnosis, weight appears to affect immune cells counts over the course of infection. In the HAART era, being either underweight or obese was associated with smaller increases in several important immune cell levels, including the CD4/CD8 ratio.