Mycobacterium tuberculosis (Mtb) and the human immunodeficiency virus (HIV) are both life-threatening pathogens in their own right, but their synergic effects on the immune system during co-infection markedly enhance their effect on the host. This review focuses on the bidirectional interaction between HIV and Mtb and discusses the relevance of sputum smear examination, CD4+ counts, viral load at baseline and after initiation of anti-retroviral therapy, as well as additional existing and new potential immune correlates of disease progression and prognosis. These markers include beta2-microglobulin, neopterin, tumor necrosis factor receptor II (TNFRII), CD8+/CD38+, soluble urokinase plasminogen activator receptor (suPAR) and CXCL10 (or IP-10).