Incomplete restoration of CD4 T-cell counts on antiretroviral therapy (ART) is a major predictor of HIV-related morbidity and mortality. To understand the possible mechanisms behind this poor immunological response despite viral suppression, we longitudinally measured more than 50 virological and immunological biomarkers in a cohort of HIV-infected individuals at several time points during the first 96 weeks of virologically suppressive ART. No baseline virological or immunological marker was predictive of the degree of immune reconstitution. However, the cell-associated HIV-1 unspliced-to-multiply-spliced (US/MS) RNA ratio at 12 weeks of ART positively correlated with markers of CD4 T-cell activation and apoptosis and negatively predicted both the absolute and relative CD4 T-cell counts at 48 and 96 weeks. A higher US/MS RNA ratio may reflect the higher frequency of productively infected cells that could exert pressure on the immune system, contributing to persistent immune activation and apoptosis and subsequently to a poor immunological response to ART. Human immunodeficiency virus (HIV) infection is currently managed by antiretroviral drugs, which block virus replication and promote immune restoration. However, the latter effect is not universal, with a proportion of infected individuals failing to sufficiently reconstitute their immune function despite a successful virological response to antiretroviral therapy (ART). No reliable predictive markers of immunological failure have been identified, and there is still no efficient therapeutic strategy, apart from ART itself, to facilitate immune reconstitution. Here, we measured more than 50 viral and host biomarkers at five time points during the first 2 years of ART and identified the cell-associated HIV-1 unspliced-to-multiply-spliced RNA ratio at 12 weeks of ART as a predictive factor for the immunological response to therapy. Moreover, the same marker positively correlated with markers of CD4 T-cell activation and apoptosis. The fact that a virological biomarker performed better than any immunological biomarker in predicting an immunological outcome highlights the importance of considering the residual HIV activity on ART as a correlate and a possible cause of the residual immune dysfunction that frequently occurs despite virologically suppressive ART.