The prevalence of HIV infection in Swaziland (26%) is among the highest in the world. We investigated nutritional knowledge, attitude, and practices (KAP) and the influence of sociodemographic factors on KAP among pregnant and lactating women living with HIV in the Manzini region of Swaziland. Interviews were conducted using a structured questionnaire to collect data from 324 subjects seeking healthcare from selected regional hospitals, health centres, and clinics in Manzini region. The results showed mean percentage scores of nutritional knowledge (67%), attitude (67%), and practices (51%) whereby educational level (p = 0.002), employment status (p = 0.009), income (p = 0.008), religion (p = 0.007), type of accommodation (p = 0.006), type of transport used when going for shopping (p = 0.001), and BMI (p = 0.015) were significantly associated with nutritional practices. Significant positive correlations between nutritional KAP were observed: nutritional K and A (r = 0.155, p = 0.005), nutritional K and P (r = 0.456, p = 0.001), and nutritional A and P (r = 0.230, p = 0.001). Multiple linear regression analysis indicated that type of transport used when going for shopping (p = 0.002), educational level (p = 0.001), income (p = 0.001), employment (p = 0.038), knowledge of food proportion in a plate (p = 0.000), a positive attitude towards high-fibre diet (p = 0.004), and eating a variety of foods (p = 0.006) were predictors of nutritional practices. Educational level was identified as a common predictor of nutritional knowledge, attitude, and practices, suggesting that both formal and informal education systems are potential factors influencing dietary practices among pregnant and lactating women living with HIV in Swaziland.