HIV-infected (HIV+) women may be more vulnerable to neurocognitive impairment (NCI) due to psychological and physiological factors but previous studies show mixed findings. We investigated the neurocognitive performances in HIV+ versus HIV- women and men. This cross-sectional analysis included 669 HIV+ patients (223 women) and 1338 HIV-uninfected (HIV-) controls (446 women) which were frequency matched on sex, education, and 5-year age categories. NCI was screened using the Mini-mental State Examination. Psychomotor speed was assessed using timed alternating hand sequence test. Prevalence of NCI was higher among women versus men in the HIV+ group (16.1% vs 10.5%) but not the HIV- group (4.3% vs 3.5%). HIV+ women performed worse compared to men on psychomotor speed, orientation, attention, and calculation, whereas HIV- women performed worse compared to men on attention and calculation. Adjusted interaction effects of HIV status × sex (women vs men) were significant on orientation, attention, and calculation, and marginally significant on psychomotor speed (p = 0.053). In multivariable models, among both HIV+ women and men, less years of education and depressive symptoms were associated with NCI. Waist-to-hip ratio above the cut-off was strongly associated with NCI among HIV+ women. HIV+ women perform worse on cognitive measures compared to HIV+ men. The association of central obesity with NCI in HIV+ women should be noted.