Cost-effective HIV prevention programs should target persons at high risk of HIV acquisition. We conducted an observational HIV incidence cohort study in Kisumu, Kenya, where HIV prevalence is triple that of the national rate. We used referral and venue-sampling approaches to enroll HIV-negative persons for a 12-month observational cohort, August 2010 to September 2011, collected data using computer-assisted interviews, and performed HIV testing quarterly. Among 1292 eligible persons, 648 (50%) were excluded for HIV positivity and other reasons. Of the 644 enrollees, 52% were women who were significantly older than men (P < .01). In all, 7 persons seroconverted (incidence rate [IR] per 100 person-years = 1.11; 95% confidence interval [CI] 0.45-2.30), 6 were women; 5 (IR = 3.14; 95% CI 1.02-7.34) of whom were ≤25 years. Most new infections occurred in young women, an observation consistent with other findings in sub-Saharan Africa that women aged ≤25 years are an important population for HIV intervention trials in Africa.