Understanding and identifying the immunological markers and clinical information linked with HIV acquisition is crucial for effectively implementing Pre-Exposure Prophylaxis (PrEP) to prevent HIV acquisition. Prior analysis on HIV incidence outcomes have predominantly employed proportional hazards (PH) models, adjusting solely for baseline covariates. Therefore, models that integrate cytokine biomarkers, particularly as time-varying covariates, are sorely needed. We built a simple model using the Cox PH to investigate the impact of specific cytokine profiles in predicting the overall HIV incidence. Further, Kaplan-Meier curves were used to compare HIV incidence rates between the treatment and placebo groups while assessing the overall treatment effectiveness. Utilizing stepwise regression, we developed a series of Cox PH models to analyze 48 longitudinally measured cytokine profiles. We considered three kinds of effects in the cytokine profile measurements: average, difference, and time-dependent covariate. These effects were combined with baseline covariates to explore their influence on predictors of HIV incidence. Comparing the predictive performance of the Cox PH models developed using the AIC metric, model 4 (Cox PH model with time-dependent cytokine) outperformed the others. The results indicated that the cytokines, interleukin (IL-2, IL-3, IL-5, IL-10, IL-16, IL-12P70, and IL-17 alpha), stem cell factor (SCF), beta nerve growth factor (B-NGF), tumor necrosis factor alpha (TNF-A), interferon (IFN) alpha-2, serum stem cell growth factor (SCG)-beta, platelet-derived growth factor (PDGF)-BB, granulocyte macrophage colony-stimulating factor (GM-CSF), tumor necrosis factor-related apoptosis-inducing ligand (TRAIL), and cutaneous T-cell-attracting chemokine (CTACK) were significantly associated with HIV incidence. Baseline predictors significantly associated with HIV incidence when considering cytokine effects included: age of oldest sex partner, age at enrollment, salary, years with a stable partner, sex partner having any other sex partner, husband's income, other income source, age at debut, years lived in Durban, and sex in the last 30 days. Overall, the inclusion of cytokine effects enhanced the predictive performance of the models, and the PrEP group exhibited reduced HIV incidences compared to the placebo group.