Human papillomavirus (HPV)‐induced anal intraepithelial neoplasia (AIN, graded 1‐3) is highly prevalent in HIV‐positive (HIV+) men who have sex with men (MSM), but only a minority of lesions progresses to cancer. Our study aimed to characterise comprehensively anal tissue samples from a cross‐sectional series (n = 104) of HIV+ MSM and longitudinal series (n = 40) of AIN2/3 progressing to cancer using different biomarkers. The cross‐sectional series consisted of 8 normal, 26 AIN1, 45 AIN2, 15 AIN3 and 10 anal squamous cell carcinoma. Tissue sections were immunohistochemically (IHC) stained for p16 (viral transformation marker), Ki‐67 (cellular proliferation marker) and HPV‐E4 (viral production marker). We evaluated the expression of IHC markers and compared it with DNA methylation, a marker for malignant transformation. E4 positivity decreased, whereas p16 and Ki‐67 scores and methylation marker positivity increased (P values < .001) with increasing severity of anal lesions. Within AIN2, a heterogeneous biomarker pattern was observed concerning E4, p16 and methylation status, reflecting the biological heterogeneity of these lesions. In the longitudinal series, all AIN2/3 and carcinomas showed high p16 and Ki‐67 expression, strong methylation positivity and occasional E4 positivity. We earlier showed that high methylation levels are associated with progression to cancer. The observed E4 expression in some AIN2/3 during the course of progression to cancer and absence of E4 in a considerable number of AIN1 lesions make the potential clinical significance of E4 expression difficult to interpret. Our data show that IHC biomarkers can help to characterise AIN; however, their prognostic value for cancer risk stratification, next to objective methylation analysis, appears to be limited.