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HIV-exposed uninfected (HEU) infants have higher infectious disease morbidity and mortality than unexposed infants. We determined the incidence and risk factors for pneumonia, a leading cause of infant mortality worldwide, in a cohort of HEU infants. Identifying predictors of pneumonia among HEU infants may enable early identification of those at highest risk.A retrospective cohort of HEU infants participating in a Kenyan perinatal HIV study, enrolled between 1999 and 2002.Infants were followed monthly from birth to 12 months. Incidence of pneumonia diagnosed at monthly study visits, sick-child visits or by means of averbal autopsy was estimated with a 14-day window for new episodes. Cox proportional hazards regression was used to identify predictors of first pneumonia occurrence.Among 388 HEU infants with 328 person-years of follow-up, the incidence of pneumonia was 900/1000 child-years [95% confidence interval (CI) 800–1000]. Maternal HIV viral load at 32 weeks’ gestation [hazard ratio 1.2 (1.0–1.5) per log10 difference] and being underweight (weight-for-age Z-score <−2) at the previous visit [hazard ratio 1.8 (1.1–2.8)] were associated with increased risk of pneumonia. Breastfed infants had a 47% lower risk of pneumonia than those never breastfed [hazard ratio 0.53 (0.39–0.73)], independent of infant growth, maternal viral load and maternal CD4%. Breastfeeding was also associated with a 74% lower risk of pneumonia-related hospitalization [hazard ratio 0.26 (0.13–0.53)].The incidence of pneumonia in this cohort of HEU infants was high. Our observations suggest that maternal viral suppression and breastfeeding may reduce the burden of pneumonia among HEU infants.