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Simple Summary: Most children infected with HIV live in Sub-Sahara Africa (SSA). These children are at risk of cancers related to HIV infection, but the degree of this risk and how it is influenced by antiretroviral therapy (ART) is unknown. In this study, we determined the subtypes, incidence, and risk factors of cancers in children with HIV in SSA and receiving ART with the goal of learning how we may prevent these cancers. We found that Kaposi sarcoma and lymphoma are the most common, comprising about 77% and 19% of cancers in these children, respectively. For every 100,000 person-years, 47.6 children developed cancer. Waiting to start ART until after 2 years old and having had severe immunosuppression were the two biggest risk factors for cancer that we identified. The findings justify the recommendations to start children on ART as soon as they are diagnosed with HIV regardless of their CD4 immune status. Approximately 91% of the world's children living with HIV (CLWH) are in sub-Saharan Africa (SSA). Living with HIV confers a risk of developing HIV-associated cancers. To determine the incidence and risk factors for cancer among CLWH, we conducted a nested case-control study of children 0–18 years from 2004–2014 at five centers in four SSA countries. Incident cases of cancer and HIV were frequency-matched to controls with HIV and no cancer. We calculated the incidence density by cancer type, logistic regression, and relative risk to evaluate risk factors of cancer. The adjusted incidence density of all cancers, Kaposi sarcoma, and lymphoma were 47.6, 36.6, and 8.94 per 100,000 person-years, respectively. Delayed ART until after 2 years of age was associated with cancer (OR = 2.71, 95% CI 1.51, 4.89) even after adjusting for World Health Organization clinical stage at the time of enrolment for HIV care (OR = 2.85, 95% CI 1.57, 5.13). The relative risk of cancer associated with severe CD4 suppression was 6.19 (p = 0.0002), 2.33 (p = 0.0042), and 1.77 (p = 0.0305) at 1, 5, and 10 years of ART, respectively. The study demonstrates the high risk of cancers in CLWH and the potential benefit of reducing this risk by the early initiation of ART. [ABSTRACT FROM AUTHOR]