The benefits of trimethoprim-sulfamethoxazole (TS) prophylaxis reported for persons living with HIV in Cote d'Ivoire are difficult to extrapolate to sub-Saharan African countries where bacterial resistance to TS is higher and cross-resistance between TS and sulfadoxine-pyrimethamine (SP) may impair SP efficacy for malaria treatment. We conducted a community-based cohort study to measure the incidence of potentially TS-preventable illnesses in Blantyre, Malawi. We found a high incidence of malaria, invasive bacterial infections, and probable bacterial pneumonias but low rates of Pneumocystis jiroveci pneumonia, isosporiasis, and Toxoplasma encephalitis. Most bacterial isolates were resistant to TS but sensitive to azithromycin, a possible alternative to TS. Clinical trials are needed to determine the role of TS or alternative regimens for prophylaxis against secondary infections among people living with HIV in sub-Saharan Africa. These should also assess benefit in patients receiving antiretroviral therapy.