Thymulin is a thymic peptide important for the maturation and differentiation of immature thymocytes, which have been found to be depressed in patients with low-level CD4(+) cell recovery despite viral control. Substance use is associated with faster progression of HIV disease, which has been ascribed to poor adherence to antiretroviral medication. Recent findings of an association between cocaine use and decline in CD4(+) cell counts independent of antiretroviral adherence indicate alternative mechanisms for disease progression. We evaluated the relationship between thymulin activity, CD4(+) and CD8(+) cell counts and the CD4(+)/CD8(+) ratio, and the covariate effects of substance use cross-sectionally in 80 HIV(+) active substance users and over 12 months in 40 participants. Thymulin activity was analyzed in plasma using a modification of the sheep rosette bioassay. Thymulin activity was negatively associated with cocaine use (β = -0.908,95% CI: -1.704, -0.112; p = 0.026). Compared to those who do not use cocaine, cocaine users were 37% less likely to have detectable thymulin activity (RR = 0.634, 95% CI: 0.406, 0.989 p = 0.045) and were 75 times more likely to show a decrease in thymulin activity (OR = 74.7, 95% CI: 1.59, 3519.74; p = 0.028) over time. CD4(+) cell count was positively associated with thymulin activity (β = 0.127, 95% CI: 0.048,0.205; p = 0.002), detectable thymulin activity was 2.32 times more likely in those with a CD4 cell count ≥200 cells/μl (RR = 2.324, 95% CI: 1.196, 4.513, p = 0.013), and those with an increase in CD4 cell counts were more likely to show an increase in thymulin activity (OR = 1.02, 95% CI: 1.00, 1.034; p = 0.041) over time. Thymulin activity is predictive of HIV disease progression and is depressed in cocaine users independent of antiretroviral treatment (ART) and HIV viral load. Understanding the mechanisms for accelerated HIV disease progression provides opportunities to find alternative strategies to counteract immunosuppression.