Objectives: Zidovudine (AZT) is recommended for first-line antiretroviral therapy (ART) in resource limited settings. AZT may, however, lead to anemia and impaired immunological response. We compared CD4 counts over 5 years between patients starting ART with and without AZT in Southern Africa. Design: Cohort study. Methods: Patients aged 16 years who started first-line ART in South Africa, Botswana, Zambia or Lesotho were included. We used linear mixed-effect models to compare CD4 cell count trajectories between patients on AZT-containing regimens and patients on other regimens, censoring follow-up at first treatment change. Impaired immunological recovery, defined as a CD4 count below 100 cells/ml at 1 year, was assessed in logistic regression. Analyses were adjusted for baseline CD4 count and haemoglobin level, age, gender, type of regimen, viral load monitoring and calendar year. Results: 72 597 patients starting ART, including 19 758 (27.2%) on AZT, were analysed. Patients on AZT had higher CD4 cell counts (150 vs.128 cells/ml) and haemoglobin level (12.0 vs. 11.0 g/dl) at baseline, and were less likely to be female than those on other regimens. Adjusted differences in CD4 counts between regimens containing and not containing AZT were -16 cells/ml (95% CI 18 to 14) at 1 year and 56 cells/ml (95% CI 59 to 52) at 5 years. Impaired immunological recovery was more likely with AZT compared to other regimens (odds ratio 1.40, 95% CI 1.22–1.61). Conclusions: In Southern Africa AZT is associated with inferior immunological recovery compared to other backbones. Replacing AZT with another NRTI could avoidunnecessary switches to second-line ART.