HIV infection is a major cause of death in sub-Saharan Africa. Within that region, existing studies have found higher levels of HIV infection in urban over rural areas, but no clear relationship between socio-economic status and risk of HIV infection. This study examined the link between socio-economic status (SES) and risk of HIV infection in an urban city with high prevalence of HIV. It found that new infections may be taking place fastest among women of low SES.