Human immunodeficiency virus (HIV), tuberculosis (TB), and helminthic infections are among the commonest public health problems in the sub-Saharan African countries like Ethiopia. Multiple micronutrient deficiencies also known as the “hidden hunger” are common in people living in these countries either playing a role in their pathogenesis or as consequences. This results in a vicious cycle of multiple micronutrient deficiencies and infection/disease progression. As infection is profoundly associated with nutritional status resulting from decreased nutrient intake, decreased nutrient absorption, and nutrient losses, micronutrient deficiencies affect immune system and impact infection and diseases progression. As a result, micronutrients, immunity, and infection are interrelated. The goal of this review is therefore to provide a summary of available findings regarding the “quadruple burden trouble” of HIV, TB, intestinal parasitic infections, and multiple micronutrient deficiencies to describe immune-modulating effects related to disorders.