The lung is the most frequently affected organ in HIV-infected patients. Lung involvement usually appears as pulmonary infiltrates on chest radiographs and is frequently—although not always—associated with clinical respiratory symptoms. Pulmonary diseases represent one of the most important causes of morbidity and mortality in these patients and remain the first cause of hospital admission in the highly active antiretroviral therapy era. Since earlier studies, important changes in the epidemiology of HIV-related pulmonary complications have occurred, mostly because of Pneumocystis jirovecii prophylaxis and the introduction of highly active antiretroviral therapy. Currently, the most frequent diagnosis is bacterial pneumonia, especially pneumococcal pneumonia; the second most frequent cause is Pneumocystis pneumonia; and the third cause is mycobacteriosis, particularly Mycobacterium tuberculosis infection. Infections are the most frequent cause of pulmonary complications in HIV patients, but noninfectious diseases must be also considered in the etiologic diagnosis of pulmonary infiltrates. Achieving an etiologic diagnosis of pulmonary infiltrates is important because of its prognostic consequences.