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This paper investigates the stochastic HTLV-I infection model with CTL immune response, and the corresponding deterministic model has two basic reproduction numbers. We consider the nonlinear CTL immune response for the interaction between the virus and the CTL immune cells. Firstly, for the theoretical needs of system dynamical behavior, we prove that the stochastic model solution is positive and global. In addition, we obtain the existence of ergodic stationary distribution by stochastic Lyapunov functions. Meanwhile, sufficient condition for the extinction of the stochastic system is acquired. Reasonably, the dynamical behavior of deterministic model is included in our result of stochastic model when the white noise disappears. [ABSTRACT FROM AUTHOR]