Late diagnosis (LD) of human immunodeficiency virus (HIV) infection continues to be a significant problem that increases disease burden both for patients and for the public health system. Guidelines have been updated in order to facilitate earlier HIV diagnosis, introducing “indicator condition-guided HIV testing”. In this study, we analysed the frequency of LD and associated risk factors. We retrospectively identified those cases that could be considered missed opportunities for an earlier diagnosis. All patients newly diagnosed with HIV infection who attended Hospital La Princesa, Madrid (Spain) between 2007 and 2014 were analysed. We collected epidemiological, clinical and immunological data. We also reviewed electronic medical records from the year before the HIV diagnosis to search for medical consultations due to clinical indicators. HIV infection was diagnosed in 354 patients. The median CD4 count at presentation was 352 cells/mm³. Overall, 158 patients (50%) met the definition of LD, and 97 (30.7%) the diagnosis of advanced disease. LD was associated with older age and was more frequent amongst immigrants. Heterosexual relations and injection drug use were more likely to be the reasons for LD than relations between men who have sex with men. During the year preceding the diagnosis, 46.6% of the patients had sought medical advice owing to the presence of clinical indicators that should have led to HIV testing. Of those, 24 cases (14.5%) were classified as missed opportunities for earlier HIV diagnosis because testing was not performed. According to these results, all health workers should pursue early HIV diagnosis through the proper implementation of HIV testing guidelines. Such an approach would prove directly beneficial to the patient and indirectly beneficial to the general population through the reduction in the risk of transmission.