Background: Patients living with HIV (PLWHIV) can develop autoimmune diseases (AD) needing immunosuppressive treatments (IST). This study aims to describe the impact of IST in PLWHIV. Methods: This was a multicentric retrospective observational study in six HIV referral centers on PLWHIV under IST for AD. Demographic factors, viral co-infections, immunovirological status before and under IST, infectious events, and their descriptions were collected and described focusing on infectious events, immunovirological variations, and IST effectiveness. Results: 9480 PLWHIV were screened for inclusion. Among them, 138 (1.5%) had a history of auto-immune disease, among which 32 (23%) received IST. There was mainly spondyloarthropathy (28%) and the most commonly used IST was methotrexate. The median follow-up under IST was 3.8 years (2.7; 5.9). There were 15 infectious events (0.5 events/individuals) concerning nine patients. At the last medical follow-up, 81% of these were in remission of their AD. Under IST, there was an increase in CD4 during follow-up (629 vs. 827 CD4/mm3, p = 0.04). No HIV virological failure was noted. Conclusions: This study supports a growing evidence base that IST can be used safely and effectively in PLWHIV with careful monitoring.