Although pre-exposure prophylaxis (PrEP) is an efficacious biomedical intervention, the effectiveness of same-day PrEP programs has not been widely studied. We utilized data from three of the four largest PrEP providers in Mississippi from September 2018 to September 2021 linked to the Mississippi State Department of Health's Enhanced HIV/AIDS reporting system. HIV diagnosis was defined as testing newly positive for HIV at least 2 weeks after the initial PrEP visit. We calculated the cumulative incidence and incidence rate of HIV per 100 person-years (PY). Person-time was calculated as time from the initial PrEP visit to (1) HIV diagnosis or (2) December 31, 2021 (HIV surveillance data end date). We did not censor individuals if they discontinued PrEP to obtain an estimate of PrEP effectiveness rather than efficacy. Among the 427 clients initiating PrEP during the study period, 2.3% [95% confidence interval (CI): 0.9-3.8] subsequently tested positive for HIV. The HIV incidence rate was 1.18 per 100 PY (95% CI: 0.64-2.19) and median time to HIV diagnosis after the initial PrEP visit was 321 days (95% CI: 62-686). HIV incidence rates were highest among transgender and nonbinary individuals [10.35 per 100 PY (95% CI: 2.59-41.40)] compared with cisgender men and women, and among people racialized as Black [1.45 per 100 PY (95% CI: 0.76-2.80)] compared with White and other racialized groups. These findings indicate a need for more clinical and community interventions that support PrEP persistence and restarts among those at high risk of HIV acquisition.