Prior studies attempting to link biomarkers of immune activation with risk of acquiring HIV have relied on cross sectional samples, most without proximity to HIV acquisition. We created a nested case-control study within the study in Peru, and assessed a panel of plasma immune biomarkers at enrollment and longitudinally, including within a month of diagnosis of primary HIV or matched timepoint in controls. We used machine learning to select biomarkers and sociobehavioral covariates predictive of HIV acquisition. Most biomarkers were indistinguishable between cases and controls one month before HIV diagnosis. However, levels differed between cases and controls at study entry, months to years earlier. Dynamic changes in IL-2, IL-7, IL-10, IP-10 and IL-12, rather than absolute levels, jointly predicted HIV risk when added to traditional risk factors, and there was modest effect modification of biomarkers on association between sociobehavioral risk factors and HIV acquisition.