Background: In sub-Saharan Africa, men living with HIV often start ART at more advanced stages of disease and have higher early mortality than women. We investigated gender difference in long-term immune reconstitution. Methods/Principal Findings: Antiretroviral-naive adults who received ART for at least 9 months in four HIV programs in sub-Saharan Africa were included. Multivariate mixed linear models were used to examine gender differences in immune reconstitution on first line ART. A total of 21,708 patients (68% women) contributed to 61,912 person-years of follow-up. At ART start,. Median CD4 at ART were 149 [IQR 85-206] for women and 125 cells/mu L [IQR 63-187] for men. After the first year on ART, immune recovery was higher in women than in men, and gender-based differences increased by 20 CD4 cells/mu L per year on average (95% CI 16-23; P<0.001). Up to 6 years after ART start, patients with low initial CD4 levels experienced similar gains compared to patients with high initial levels, including those with CD4>250cells/mu L (difference between patients with <50 cells/mu L and those with >250 was 284 cells/mu L; 95% CI 272-296; LR test for interaction with time p = 0.63). Among patients with initial CD4 count of 150-200 cells/mu L, women reached 500 CD4 cells after 2.4 years on ART (95% CI 2.4-2.5) and men after 4.5 years (95% CI 4.1-4.8) of ART use. Conclusion: Women achieved better long-term immune response to ART, reaching CD4 level associated with lower risks of AIDS related morbidity and mortality quicker than men.