Background: Advanced HIV disease (AHD) remains highly prevalent and is associated with increased morbidity and mortality. Missed opportunities for early diagnosis continue to represent a major public health challenge. Methods: We conducted a multicenter retrospective cohort study including antiretroviral-naive people with HIV (PWH) presenting with AHD (CD4 < 200 cells/µL and/or AIDS) diagnosed between 1 January 2019 and 31 December 2024 in four Italian infectious diseases units. Demographic, clinical and viro-immunological data were collected at baseline and during follow up. Information on healthcare contacts, HIV-related symptoms, and prior HIV testing in the two years preceding diagnosis was obtained through structured interviews. Results: Among 658 newly diagnosed participants with HIV, 224 (34%) presented with AHD, of whom 54% presented with AIDS. Most participants (86.2%) had never undergone HIV testing before diagnosis. In the year preceding diagnosis 29.3% accessed healthcare services for symptoms compatible with HIV infection without being tested for HIV. At one year, 84.2% achieved virological suppression, with a median CD4 count of 260 cells/µL. Overall loss to follow-up was 27.2%. Five-year survival was significantly higher in non-AIDS presenters compared with AIDS presenters (100% vs. 85%, p = 0.005). Conclusions: Missed diagnostic opportunities remain frequent among PWH presenting with AHD, despite prior healthcare contacts. Wider implementation of indicator condition-guided HIV testing is urgently needed to reduce late diagnosis and improve long-term outcomes.