Background: Women living with Human Immunodeficiency Virus are at higher risk of cervical cancer and precancer compared to women without HIV infection. The aim of the study is to evaluate the risk factors for the development of CIN2+ in a cohort of WLWH with negative colposcopy and cytology during a long follow-up period. Methods: We enrolled, in a multicentric retrospective cohort study, WLWH who attended the colposcopic services from 1999 to 2019. Patients with a normal Pap smear, a negative HR-HPV test, and at least one year of follow-up were considered for the anlysis. Results: The five-year cumulative incidence of histologically confirmed HSIL was 8.3% (95% CI = 2.6–13.6) among subjects with a CD4+ cell count of 200 cells/µL. In women with persistent HR-HPV infection, the five-year cumulative incidence of CIN 2+ was 6% (95% CI = 1.6–10.2) versus 2% (95% CI = 0.4–3.6, p = 0.012) in women without HPV infection. An HIV viremia of >200 copies/mL, a CD4+ cell count of <200 cells/µL, persistent HR-HPV infection, and smoking ≥10 cigarettes/day were all independent and statistically significant risk factors associated with the development of CIN2+ during follow-up. Conclusions: WLWH with good immune status and negative Pap smear and HR-HPV test have a low risk for CIN2+.