HIV-associated neurocognitive disorder (HAND) is characterized by chronic immune activation. We aimed to identify biomarkers associated with HAND and to investigate their association with cognitive function and sex, in a homogenous cohort of HIV-infected (HIV+) young adults, parenterally infected during early childhood. One hundred forty-four HIV+ Romanian participants (51% women) without major confounders underwent standardized neurocognitive and medical evaluation in a cross-sectional study. IFN-γ, IL-1β, IL-6, CCL2, CXCL8, CXCL10, and TNF-α were measured in plasma in all participants and in cerebrospinal fluid (CSF) in a subgroup of 56 study participants. Biomarkers were compared with neurocognitive outcomes, and the influence of sex and HIV disease biomarkers was assessed. In this cohort of young adults (median age of 24 years), the rate of neurocognitive impairment (NCI) was 36.1%. Median current CD4+ count was 479 cells/mm³ and 36.8% had detectable plasma viral load. Women had better HIV-associated overall status. In plasma, controlling for sex, higher levels of IL-6 and TNF-α were associated with NCI (p < 0.05). Plasma CXCL10 showed a significant interaction with sex (p = 0.02); higher values were associated with NCI in women only (p = 0.02). Individuals with undetectable viral load had significantly lower plasma CXCL10 (p < 0.001) and CCL2 (p = 0.02) levels, and CSF CXCL10 (p = 0.01), IL-6 (p = 0.04), and TNF-α (p = 0.04) levels. NCI in young men and women living with HIV was associated with higher IL-6 and TNF-α in plasma, but not in the CSF. CXCL10 was identified as a biomarker of NCI specifically in women with chronic HIV infection.