Human immunodeficiency virus-associated neurocognitive impairment (HANI) remains problematic despite the effective use of antiretroviral therapy (ART) and viral suppression. A dysregulated immune response contributes to the development of HANI but findings on the association between peripheral blood immune markers and HANI have been inconsistent. We therefore conducted a systematic review of studies of the association of peripheral blood immune markers with neurocognitive performance in ART experienced HIV-positive participants. Thirty-seven studies were eligible, including 12 longitudinal studies and 25 cross-sectional studies. Findings consistently show that HIV-positive participants have altered immune marker levels, including elevated markers of monocyte activation (neopterin, sCD14, sCD163) and inflammation (CCL2, IL-8, IL-18, IP-10, IFN-α, sTNFR-II and TNF-α). These elevated levels persist in HIV-positive participants despite ART. The majority of studies found associations of HANI with immune markers, including those linked to monocyte activation (sCD14 and sCD163) and inflammation (IL-18 and IP-10). Despite the heterogeneity of studies reviewed, due to the presence of raised peripheral markers, our narrative review provides evidence of chronic inflammation despite ART. The raised levels of these markers may suggest certain mechanisms are active, potentially those involved in the neuropathophysiology of HANI.