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A significant proportion of people living with HIV (PLHIV) who successfully achieve virological suppression fail to recover CD4⁺ T-cell counts. Since adipose tissue has been discovered as a key immune organ, this study aimed to assess the role of adipokines in the HIV immunodiscordant response. This is a multicenter prospective study including 221 PLHIV starting the first antiretroviral therapy (ART) and classified according to baseline CD4⁺ T-cell counts/µL (controls > 200 cells/µL and cases ≤ 200 cells/µL). Immune failure recovery was considered when cases did not reach more than 250 CD4⁺ T cells/µL at 144 weeks (immunological nonresponders, INR). Circulating adipokine concentrations were longitudinally measured using enzyme-linked immunosorbent assays. At baseline, apelin receptor (APLNR) and zinc-alpha-2-glycoprotein (ZAG) concentrations were significantly lower in INRs than in immunological responders (<i>p</i> = 0.043 and <i>p</i> = 0.034), and they remained lower during all ART follow-up visits (<i>p</i> = 0.044 and <i>p</i> = 0.028 for APLNR, <i>p</i> = 0.038 and <i>p</i> = 0.010 for ZAG, at 48 and 144 weeks, respectively). ZAG levels positively correlated with retinol-binding protein 4 (RBP4) levels (<i>p</i> < 0.01), and low circulating RBP4 concentrations were related to a low CD4⁺ T-cell gain (<i>p</i> = 0.018 and <i>p</i> = 0.039 at 48 and 144 weeks, respectively). Multiple regression adjusted for clinical variables and adipokine concentrations confirmed both low APLNR and RBP4 as independent predictors for CD4⁺ T cells at 144 weeks (<i>p</i> < 0.001). In conclusion, low APLNR and RBP4 concentrations were associated with poor immune recovery in treated PLHIV and could be considered predictive biomarkers of a discordant immunological response.