Chronic immune activation is a hallmark of HIV infection, yet the underlying triggers of immune activation remain unclear. Persistent antigenic stimulation during HIV infection may also lead to immune exhaustion, a phenomenon in which effector T cells become dysfunctional and lose effector functions and proliferative capacity. Several markers of immune exhaustion, such as PD-1, LAG-3, Tim-3, and CTLA-4, which are also negative regulators of immune activation, are preferentially upregulated on T cells during HIV infection. It is not yet clear whether accumulation of T cells expressing activation inhibitory molecules is a consequence of general immune or chronic HIV-specific immune activation. Importantly, however, in vitro blockade of PD-1 and Tim-3 restores HIV-specific T-cell responses, indicating potential for immunotherapies. In this review we discuss the evolution of our understanding of immune exhaustion during HIV infection, highlighting novel markers and potential therapeutic targets.