Natural regulatory T cells (Tregs) participate in responses to various chronic infections including HIV. HIV infection is associated with a progressive CD4 lymphopenia and defective HIV-specific CD8 responses known to play a key role in the control of viral replication. Persistent immune activation is a hallmark of HIV infection and is involved in disease progression independent of viral load. The consequences of Treg expansion, observed in HIV infection, could be either beneficial, by suppressing generalized T-cell activation, or detrimental, by weakening HIV-specific responses and thus contributing to viral persistence. The resulting balance between Tregs contrasting outcomes might have critical implications in pathogenesis. Topics covered in this review include HIV-induced alterations of Tregs, Treg cell dynamics in blood and tissues, Treg-suppressive function, and the relationship between Tregs and immune activation. This review also provides a focus on the role of CD39(+) Tregs and other regulatory cell subsets. All these issues will be explored in different situations including acute and chronic infection, antiretroviral treatment-mediated viral control, and spontaneous viral control. Results must be interpreted with regard to both the Treg definition used in context and to the setting of the disease in an attempt to draw clearer conclusions from the apparently conflicting results.