We retrospectively analysed routinely collected baseline data of 2252 patients with HIV infection registered in the National Free Antiretroviral Treatment Program in Xinjiang province, China, from 2006 to 2011 to estimate the prevalence and predictors of anemia at the initiation of combined antiretroviral therapy. Anemia was diagnosed using the criteria set forth by the World Health Organisation, and univariate and multivariate logistic regression analyses were performed to determine its predictors. The prevalences of mild, moderate, and severe anemia at the initiation of combined antiretroviral therapy were 19.2%, 17.1%, and 2.6%, respectively. Overall, 38.9% of the patients were anemic at the initiation of combined antiretroviral therapy. The multivariate logistic regression analysis indicated that Uyghur ethnicity, female gender, lower CD4 count, lower body mass index value, self-reported TB infection, and oral candidiasis were associated with a higher prevalence of anemia, whereas higher serum alanine aminotransferase level was associated with a lower prevalence of anemia. The results suggest that the overall prevalence of anemia at the initiation of combined antiretroviral therapy in patients with HIV infection is high in Xinjiang, China, but severe anemia is uncommon. Patients in China should be routinely checked for anemia prior to combined antiretroviral therapy initiation, and healthcare providers should carefully select the proper first-line combined antiretroviral therapy regimens for anemic patients.