Introduction Complete follow-up of human immunodeficiency virus (HIV)-exposed infants (HEI) is crucial for a successful prevention of mother-to-child HIV transmission. This study analyzed the HEI follow-up and factors associated with loss to follow-up (LTFU) in southern Mozambique. Methods This retrospective cohort study used the data of HEI enrolled between June 2017 and June 2018, followed-up for 18 months. The outcomes were the proportion of infants with completed follow-up and a definitive diagnosis, and the presence of clinical events. Kaplan–Meier survival analysis was used to calculate the cumulative probability of LTFU and of clinical events. Factors associated with LTFU and clinical events were analyzed using Cox regression to calculate the hazard ratio (HR) and adjusted HR (AHR), with a 95% confidence interval (CI) and a significance cutoff of p <0.05. Results 1413 infants were enrolled (49% males) at a median age of 32 days (IQR 31–41); the median follow-up time was 12 months (IQR 8.2–14.2); 1129 (80%) completed follow-up and had a definitive diagnosis, 58 (4%) were HIV-positive, 225 (16%) were LTFU; 266 (19%) presented a clinical event. Factors associated with LTFU were: age >2 months at entry (AHR, 1.58; 95% CI, 1.12–2.23), non-exclusive breastfeeding (AHR, 1.44; 95% CI, 1.01–2.06), poor cotrimoxazole adherence (AHR, 3.42; 95% CI, 1.59–7.35), and clinical events (AHR, 0.51; 95% CI, 0.34–0.77). Factors associated with clinical events were: malnutrition (AHR, 10.06; 95% CI, 5.92–17.09), non-exclusive breastfeeding (AHR, 1.98; 95% CI, 1.34–2.93), no nevirapine prophylaxis (AHR, 1.67; 95% CI, 1.18–2.36), and poor cotrimoxazole adherence (AHR, 2.62; 95% CI, 1.10–6.22). Conclusion The high rate of HEI LTFU, associated with delayed linkage to postnatal care, poor prophylaxis adherence, non-exclusive breastfeeding, indicates the need to design a differentiated service delivery model that is tailored to the mothers’ and infants’ specific needs.