Anemia in HIV-infected patients improves with highly active antiretroviral therapy (HAART); however, it may still be associated with mortality among patients receiving treatment. We examined the associations of anemia severity and iron deficiency anemia (IDA) at HAART initiation and during monthly prospective follow-up with mortality among 40,657 adult HIV-infected patients receiving HAART in Dar es Salaam, Tanzania. Proportional hazards models were used to examine the associations of anemia severity and IDA at HAART initiation and during follow-up with mortality. A total of 6,261 deaths were reported. Anemia severity at HAART initiation and during follow-up was associated with an increasing risk of mortality (trend tests P < 0.001). There was significantly higher mortality risk associated with IDA at HAART initiation and during follow-up versus no anemia or iron deficiency (both P < 0.001). These associations differed significantly by gender, body mass index, and iron supplement use (all interaction test P < 0.001). The magnitude of association was stronger among men. Mortality risk with severe anemia was 13 times greater versus no anemia among obese patients, whereas it was only two times greater among underweight patients. Higher mortality risk was observed among iron supplement users, irrespective of anemia severity. Anemia and IDA were significantly associated with a higher mortality risk in patients receiving HAART. Iron supplementation indicated an increased mortality risk, and its role in HIV infections should be examined in future studies. Given the low cost of assessing anemia, it can be used frequently to identify high-risk patients in resource-limited settings.