The etiology of multifactorial morbidities such as undernutrition and anemia in children living with the human immunodeficiency virus (HIV) (HIV+) on antiretroviral therapy (ART) is poorly understood. Our objective was to examine associations of HIV and iron status with nutritional and inflammatory status, anemia, and dietary intake in school-aged South African children. Using a two-way factorial case-control design, we compared four groups of 8 to 13-year-old South African schoolchildren: (1) HIV+ and low iron stores (inflammation-unadjusted serum ferritin ≤ 40 µg/L), n = 43; (2) HIV+ and iron sufficient non-anemic (inflammation-unadjusted serum ferritin > 40 µg/L, hemoglobin ≥ 115 g/L), n = 41; (3) children without HIV (HIV-ve) and low iron stores, n = 45; and (4) HIV-ve and iron sufficient non-anemic, n = 45. We assessed height, weight, plasma ferritin (PF), soluble transferrin receptor (sTfR), plasma retinol-binding protein, plasma zinc, C-reactive protein (CRP), α-1-acid glycoprotein (AGP), hemoglobin, mean corpuscular volume, and selected nutrient intakes. Both HIV and low iron stores were associated with lower height-for-age Z-scores (HAZ, p < 0.001 and p = 0.02, respectively), while both HIV and sufficient iron stores were associated with significantly higher CRP and AGP concentrations. HIV+ children with low iron stores had significantly lower HAZ, significantly higher sTfR concentrations, and significantly higher prevalence of subclinical inflammation (CRP 0.05 to 4.99 mg/L) (54%) than both HIV-ve groups. HIV was associated with 2.5-fold higher odds of iron deficient erythropoiesis (sTfR > 8.3 mg/L) (95% CI: 1.03–5.8, p = 0.04), 2.7-fold higher odds of subclinical inflammation (95% CI: 1.4–5.3, p = 0.004), and 12-fold higher odds of macrocytosis (95% CI: 6–27, p < 0.001). Compared to HIV-ve counterparts, HIV+ children reported significantly lower daily intake of animal protein, muscle protein, heme iron, calcium, riboflavin, and vitamin B12, and significantly higher proportions of HIV+ children did not meet vitamin A and fiber requirements. Compared to iron sufficient non-anemic counterparts, children with low iron stores reported significantly higher daily intake of plant protein, lower daily intake of vitamin A, and lower proportions of inadequate fiber intake. Along with best treatment practices for HIV, optimizing dietary intake in HIV+ children could improve nutritional status and anemia in this vulnerable population. This study was registered at clinicaltrials.gov as NCT03572010.