Chronic interstitial pneumonia (CIP) is a main pathology of sheep infected with small ruminant lentivirus (SRLV). Caprine arthritis-encephalitis (CAE) is caused by the same pathogen; however, the presence of CIP has been only occasionally reported in SRLV-infected goats. We carried out a cross-sectional study to determine the prevalence of histopathological lesions indicative of CIP in goats with symptomatic CAE, and to investigate whether CIP was associated with a higher prevalence of other types of pneumonia (purulent bronchopneumonia, fibrinous pleuropneumonia) or bacterial infections. Lung specimens and bronchial swabs were collected for histopathological and bacteriological examination, respectively, from 116 goats from a CAE-affected herd. All goats were euthanized due to severe clinical signs of CAE. The goats were seropositive for SRLV infection in two different ELISAs and the presence of SRLV antigen in the lung tissue was confirmed by immunohistochemistry. Histopathologically, pneumonia of any type was confirmed in 82 goats (70.7%) and CIP was present in 67 goats (57.8%). In most goats, the severity of the histopathological features of pneumonia was mild. Bacteria were detected in bronchial swabs from 73 goats (62.9%). CIP proved to be significantly positively linked to the occurrence of purulent bronchopneumonia (p < 0.001), fibrinous pleuropneumonia (p = 0.001), and of the infection of lungs with bacteria capable of causing pneumonia (p = 0.050). The causal character of these associations should be considered and warrants further investigation.