Despite robust evidence that immediate antiretroviral therapy (ART) initiation reduces transmission of HIV from mother to child, some pregnant women living with HIV in sub-Saharan Africa (SSA), and Swaziland in particular, continue to refuse ART. This study explored the reasons which deter pregnant women living with HIV from immediate ART initiation in the Hhohho region, Swaziland, using grounded theory design. In-depth interviews with ten purposively selected pregnant women who refused immediate ART initiation were carried out in three high volume health facilities. The thematic analysis revealed key reasons that deterred women from immediate ART initiation. These were shock and perceived stigma, participants' conceptualisation of health and ART and the fear of ART and its side effects. The study offers qualitative evidence from Swaziland that might help illuminate issues that prevent pregnant women from accepting immediate ART initiation for their own health and that of their children. The evidence generated from this study can be used for developing targeted and culturally appropriate intervention strategies for Swazi women.