About 2.1 million adolescents aged 10–19 years are living with HIV, 80% of them in sub-Saharan Africa. Early sexual activity remains an important risk factor for HIV transmission and potentially result in negative health consequences including onward transmission of sexually transmitted infections. Cross-sectional data of 580 adolescents living with HIV (ALHIV) aged 13–17 years (317 girls and 263 boys) from Kenya and Uganda were analyzed to assess factors associated with risk to become sexually active. Factors associated with risk of sexual intercourse were identified using Kaplan–Meier survival curves and Cox regression with gender-stratified bi-and multivariable models. Slightly more females (22%) than males (20%) reported they have had sex. Multivariable models showed that being aware of one’s own HIV infection, and receiving antiretroviral treatment were negatively associated with risk of becoming sexually active, while subjective norms conducive to sexuality, and girls’ poor health experience increased the risk. In the final multi-variable models, schooling was protective for girls, but not for boys. Being more popular with the opposite sex was negatively associated with the outcome variable only for girls, but not for boys. This study expands the knowledge base on factors associated with onset of sexual activity among ALHIV, potentially informing positive prevention interventions.