Social capital—especially through its “network” dimension (high levels of participation in local community groups)—is thought to be an important determinant of health in many contexts. We investigate its effect on HIV prevention, using prospective data from a general population cohort in eastern Zimbabwe spanning a period of extensive behavior change (1998–2003). Almost half of the initially uninfected women interviewed were members of at least one community group. In an analysis of 88 communities, individuals with higher levels of community group participation had lower incidence of new HIV infections and more of them had adopted safer behaviors, although these effects were largely accounted for by differences in socio-demographic composition. Individual women in community groups had lower HIV incidence and more extensive behavior change, even after controlling for confounding factors. Community group membership was not associated with lower HIV incidence in men, possibly refecting a propensity among men to participate in groups that allow them to develop and demonstrate their masculine identities—often at the expense of their health. Support for women's community groups could be an effective HIV prevention strategy in countries with large-scale HIV epidemics.