Few studies on AIDS that evaluate factors associated with treatment failure have considered the slow evolution of the disease and multiple health state transitions following the use of antiretrovirals. In this article we study factors associated with the progression between different stages of the disease, focusing on therapy adherence using a sample of 722 HIV+ patients followed up for 3 years. States were defined using the following classifications of the CD4 cell count: s₁ (CD4 ≥ 500); s₂ (350 ≤ CD4 < 500); and s₃ (CD4 < 350). The transitions between states were modeled using multi-state models. Antiretroviral therapy adherence and disease duration were associated with transitions between immune states during follow-up. Low adherence increased the hazard ratio of a transition between s₁ to s₂ and intermediate adherence increased the hazard ratio of a transition between s₂ to s₃. On the other hand, older age and disease duration between two and four years are protective factors for AIDS progression. Multi-state modeling is a powerful approach for studying chronic diseases and estimating factors associated with transitions between each stage of progression, thus enabling the use of more individualized and effective interventions.