Neurocognitive impairment continues to be common comorbidity for people living with HIV (PLWH). Given the chronic nature of HIV disease, identifying reliable biomarkers of these impairments is essential to advance our understanding of the underlying neural foundation and facilitate screening and diagnosis in clinical care. While neuroimaging provides immense potential for such biomarkers, to date, investigations in PLWH have been mostly limited to either univariate mass techniques or a single neuroimaging modality. In the present study, connectome-based predictive modeling (CPM) was proposed to predict individual differences of cognitive functioning in PLWH, using resting-state functional connectivity (FC), white matter structural connectivity (SC), and clinical relevant measures. We also adopted an efficient feature selection approach to identify the most predictive features, which achieved an optimal prediction accuracy of r = 0.61 in the discovery dataset (n = 102) and r = 0.45 in an independent validation HIV cohort (n = 88). Two brain templates and nine distinct prediction models were also tested for better modeling generalizability. Results show that combining multimodal FC and SC features enabled higher prediction accuracy of cognitive scores in PLWH, while adding clinical and demographic metrics may further improve the prediction by introducing complementary information, which may help better evaluate the individual-level cognitive performance in PLWH.