Whilst effective antiretroviral therapy is protective against the more severe forms of HIV-associated brain disease, there remains a large burden of clinically symptomatic cognitive impairment in the modern era. Although several potential pathogenic mechanisms have been proposed, the underlying pathology remains elusive. In this review, we summarize the evidence describing neuronal toxicity of antiretroviral agents themselves in both preclinical and clinical situations, as well as the potential pathological mechanisms underlying this toxicity. We also consider the implications for future practice and clinical research in which case determining optimal antiretroviral combinations that effectively suppress HIV replication whilst minimizing neurotoxic effects on the central nervous system may become paramount.