Latent TB infection (LTBI) in HIV patients, its treatment, and immunological recovery following highly active antiretroviral therapy (HAART) could interact and impact TB disease progression. We aim to examine the factors associated with LTBI and TB disease development among HIV patients. Longitudinal clinical and laboratory data were accessed from the largest HIV specialist clinic in Hong Kong, where HAART and yearly LTBI screening are routinely provided for HIV patients. Between 2002 and mid-2017, among 2079 HIV patients with 14119 person-years (PY) of follow-up, 32% of LTBI screened patients (n = 1740) were tested positive. The overall TB incidence was 1.26/100 PY from HIV diagnosis to HAART initiation, falling to 0.37/100 PY. A lower risk of TB disease progression was associated with local residence, Chinese ethnicity, negative baseline LTBI result, being on HAART, LTBI treatment, higher baseline CD4 and CD4/CD8 ratio. A positive test at baseline, but not subsequent testing results, was significantly associated with TB disease development. Baseline LTBI screening is an important strategy for identifying HIV patients at risk of TB disease progression. Routine repeat LTBI screening on an annual basis might not give additional benefits to patients on HAART with good immunological responses. Such practice should require re-evaluation.