Although previous studies investigated pregnancy rates among women on antiretroviral therapy (ART), incidence of, and factors associated with pregnancy among these women remain poorly understood. We, therefore, conducted a retrospective cohort study at a large public HIV clinic in Lilongwe, Malawi, between July 2007 and December 2010. At each clinic visit, pregnancy status was assessed. Time to event analysis was conducted using Poisson regression. Among 4,738 women, 589 pregnancies were observed. Pregnancy incidence was 9.3/100 person-years. After 6 months on ART, women on ART had similar total fertility rates to women in the urban population. In multivariable analysis, increasing age and advanced WHO clinical stage were associated with decreased probability of becoming pregnant while higher body mass index and longer time on ART were associated with increased probability of becoming pregnant. We recommend that ART clinics integrate comprehensive family planning services to address reproductive health needs among women on ART.