For more than two decades, HIV has infected millions of people worldwide each year through mucosal transmission. Our knowledge of how HIV secures a foothold at both the molecular and cellular levels has been expanded by recent investigations that have applied new technologies and used improved techniques to isolate ex vivo human tissue and generate in vitro cellular models, as well as more relevant in vivo animal challenge systems. Here, we review the current concepts of the immediate events that follow viral exposure at genital mucosal sites where most documented transmissions occur. Furthermore, we discuss the gaps in our knowledge that are relevant to future studies, which will shape strategies for effective HIV prevention.