Background: There are many inequalities in terms of prevention and treatment for pregnant women with HIV and exposed children in low and middle income countries. The Brazilian protocol for prenatal care includes rapid diagnostic testing for HIV, compulsory notification, and monitoring by the epidemiological surveillance of children exposed to HIV until 18 months after delivery. The case is closed after HIV serology results are obtained. Loss to follow-up is defined as a child who was not located at the end of the case, and, therefore, did not have a laboratory diagnosis. Loss to follow-up is a current problem and has been documented in other countries. This study analyzed the incidence of loss to follow-up of children exposed to HIV and the sociodemographic, behavioral and health variables of associated pregnant women. Methods: This historical cohort study included information on pregnant women living with HIV and the outcome of the child’s exposure to HIV. The association between predictors and the child’s outcome as a loss to follow-up was investigated using the Poisson Regression model. Relative Risk calculations were performed. The significance level of 5% was adopted for variables in the adjusted model. Results: Between 2000 and 2017, of 6,836 children exposed to HIV, 1,763 (25.8%) were classified as loss to follow-up. The factors associated were: maternal age of up to 22 years (aRR 1.25, 95% CI: 1.09-1.43), the mother’s self-declared race/color being black or mixed (aRR 1.13, 95% CI: 1.03-1.25), up to three years of schooling (aRR 1.45, 95% CI: 1.26-1.67), between four and seven years of schooling (aRR 1.14, 95% CI: 1.02-1.28), intravenous drug use (aRR 1.29, 95% CI: 1.12-1.50), and HIV diagnosis during prenatal care or at delivery (aRR 1.37, 95% CI: 1.24-1.52). Conclusion: Variables related to the individual, social and programmatic vulnerability of pregnant women were evidenced.