Social capital is important to disadvantaged groups, such as sex workers, as a means of facilitating internal group-related mutual aid and support as well as access to broader social and material resources. Studies among sex workers have linked higher social capital with protective HIV-related behaviors; however, few studies have examined social capital among sex workers in sub-Saharan Africa. This cross-sectional study examined relationships between two key social capital constructs, social cohesion among sex workers and social participation of sex workers in the larger community, and HIV-related risk in Swaziland using respondent-driven sampling. Relationships between social cohesion, social participation, and HIV-related risk factors were assessed using logistic regression. HIV prevalence among the sample was 70.4% (223/317). Social cohesion was associated with consistent condom use in the past week (adjusted odds ratio [AOR] = 2.25, 95% confidence interval [CI]: 1.30-3.90) and was associated with fewer reports of social discrimination, including denial of police protection. Social participation was associated with HIV testing (AOR = 2.39, 95% CI: 1.36-4.03) and using condoms with non-paying partners (AOR = 1.99, 95% CI: 1.13-3.51), and was inversely associated with reported verbal or physical harassment as a result of selling sex (AOR = 0.55, 95% CI: 0.33-0.91). Both social capital constructs were significantly associated with collective action, which involved participating in meetings to promote sex worker rights or attending HIV-related meetings/ talks with other sex workers. Social- and structural-level interventions focused on building social cohesion and social participation among sex workers could provide significant protection from HIV infection for female sex workers in Swaziland.