We evaluated the association between HIV exposed-uninfected (HEU) status, malnutrition and risk of death in Ugandan children hospitalized with pneumonia. Both HIV exposure and infection were associated with lower anthropometric indices on univariate analysis, and mid-upper arm circumference was significantly associated with overall mortality (odds ratio (OR), 0.96) in a multivariable model. HIV infection (OR 5.0) but not HEU status was associated with overall mortality. Malnutrition may contribute to poor pneumonia outcomes among HIV-infected and HEU children requiring hospitalization.