In sub-Saharan Africa, respiratory tract infections (RTI) are the leading cause of serious morbidity and mortality in HIV-infected persons. This study sought to investigate demographic, socioeconomic, and environmental risk factors for pneumonia in a cohort of HIV-infected women. The authors performed a nested case-control study in a cohort of HIV-1-infected adults followed in Nairobi, Kenya. Thirty-nine women who developed pneumonia during the follow-up period were selected as cases, and 66 women who did not develop pneumonia were randomly chosen to serve as control subjects. A questionnaire was administered in subjects' homes that assessed demographics, home environment, and socioeconomic status. Women were followed in the cohort for a median of 36.8 months (range, 27.3-39.3). Adjusting for length of follow-up period, factors associated with lower socioeconomic status (lower monthly spending [OR = 3.2; 95% CI, 1.2-8.4 per 10,000 Kenyan shilling decrease], having no savings [OR = 4.1; 95% CI, 1.4-11.9], less sturdy home construction material such as mud or cement walls [OR = 2.6; 95% CI, 1.1-5.9] or dirt floors [OR = 2.8; 95% CI, 1.0-7.6], and lack of a window in the home [OR = 5.5; 95% CI, 0.9-32.2]) and being widowed (OR = 4.3; 95% CI, 1.2-15.1) or single (OR = 3.3; 95% CI, 1.0-11.2) were associated with an increased risk of pneumonia. In multivariate analysis, widowed (AOR = 5.9; 95% CI, 1.3-26.3), single (AOR = 7.7; 95% CI, 1.6-36.4), and divorced (AOR = 4.5; 95% CI, 1.0-20.1) women, those without savings (AOR = 3.7; 95% CI, 1.2-11.7), and those living in more crowded and contagious conditions (AOR = 1.5; 95% CI, 1.1-2.1) remained at increased risk of pneumonia. If confirmed by prospective investigation, these findings could help identify persons and subpopulations of HIV-infected women with the greatest risk of pneumonia.