Russia has one of the world's fastest growing HIV epidemics, and HIV screening has been widespread. Whether such screening is an effective use of resources is unclear. We used epidemiologic and economic data from Russia to develop a Markov model to estimate costs, quality of life and survival associated with a voluntary HIV screening programme compared with no screening in Russia. We measured discounted lifetime health-care costs and quality-adjusted life years (QALYs) gained. We varied our inputs in sensitivity analysis. Early identification of HIV through screening provided a substantial benefit to persons with HIV, increasing life expectancy by 2.1 years and 1.7 QALYs. At a base-case prevalence of 1.2%, once-per-lifetime screening cost $13,396 per QALY gained, exclusive of benefit from reduced transmission. Cost-effectiveness of screening remained favourable until prevalence dropped below 0.04%. When HIV-transmission-related costs and benefits were included, once-per-lifetime screening cost $6910 per QALY gained and screening every two years cost $27,696 per QALY gained. An important determinant of the cost-effectiveness of screening was effectiveness of counselling about risk reduction. Early identification of HIV infection through screening in Russia is effective and cost-effective in all but the lowest prevalence groups.