Although highly active antiretroviral therapy (HAART) is effective in controlling the progression of AIDS, the emergence of drug-resistant strains increases the difficulty of successful treatment of patients with HIV infection. Increasing numbers of patients are facing the dilemma that comes with the running out of drug combinations for HAART. Computational methods play a key role in anti-HIV drug development. A substantial number of studies have been performed in anti-HIV drug development using various computational methods, such as virtual screening, QSAR, molecular docking, and homology modeling, etc. In this review, we summarize recent advances in the application of computational methods to anti-HIV drug development for five key targets as follows: reverse transcriptase, protease, integrase, CCR5, and CXCR4. We hope that this review will stimulate researchers from multiple disciplines to consider computational methods in the anti-HIV drug development process.