METHODS Thirteen methadone maintenance treatment (MMT) clinics across Yunnan, the province with the highest human immunodeficiency virus (HIV) burden in China. OBJECTIVE To determine, among HIV-negative participants on MMT, the proportion lost to follow-up (defined as those who missed the 6-monthly follow-up examination), factors associated with loss to follow-up (LFU), HIV seroconversion rate and factors associated with seroconversion. METHODS Prospective cohort study from October 2008 to April 2011. All participants were administered a pre-tested structured questionnaire to capture associated factors and offered HIV testing every 6 months. χ(2) test and log-binomial regression were used for data analysis. RESULTS Of 1146 participants, 541 (47%) were lost to follow-up in 2.5 years. Factors associated with higher LFU proportion include <6 months of previous MMT, inconvenient location of the MMT clinic and average methadone dose ⩽60 mg/day, with adjusted relative risks (RRs) of respectively 1.4 (95%CI 1.2-1.5), 1.2 (95%CI 1.0-1.4) and 1.1 (95%CI 1.0-1.3). The overall HIV seroconversion rate was 6.6 (95%CI 3.7-11.0) per 1000 person-years. Not living with a partner contributed to higher HIV rates, with an adjusted RR of 3.6 (95%CI 1.0-12.8). CONCLUSIONS The retention rate of MMT participants in Yunnan was not satisfactory. Decentralising service delivery in the community and making directly observed treatment more convenient has the potential to improve retention.