Background: Little is known about the impact of pregnancy on response to highly active antiretroviral therapy (HAART) in sub-Saharan Africa. We examined the effect of incident pregnancy after HAART initiation on clinical response to HAART. Methods: We evaluated a prospective clinical cohort of adult women initiating HAART in Johannesburg, South Africa between 1 April 2004 and 31 March 2011, and followed up until an event, transfer, drop-out, or administrative end of followup on 30 September 2011. Women over age 45 and women who were pregnant at HAART initiation were excluded from the study. Main exposure was having experienced pregnancy after HAART initiation; main outcome was death and (separately) death or new AIDS event. We calculated adjusted hazard ratios (HRs) and 95% confidence limits (CL) using marginal structural Cox proportional hazards models. Results: The study included 7,534 women, and 20,813 person-years of follow-up; 918 women had at least one recognized pregnancy during follow-up. For death alone, the weighted (adjusted) HR was 0.84 (95% CL 0.44, 1.60). Sensitivity analyses confirmed main results, and results were similar for analysis of death or new AIDS event. Incident pregnancy was associated with a substantially reduced hazard of drop-out (HR = 0.62, 95% CL 0.51, 0.75). Conclusions: Recognized incident pregnancy after HAART initiation was not associated with increases in hazard of clinical events, but was associated with a decreased hazard of drop-out. High rates of pregnancy after initiation of HAART may point to a need to better integrate family planning services into clinical care for HIV-infected women.