Natural killer T (NKT) cells bridge across innate and adaptive immune responses and have an important role in chronic viral infections such as human immunodeficiency virus (HIV). NKT cells are depleted during chronic HIV infection, but the timing, drivers and implications of this NKT cell depletion are poorly understood. We studied human peripheral blood NKT cell levels, phenotype and function in 31 HIV‐infected subjects not on antiretroviral treatment from a mean of 4 months to 2 years after HIV infection. We found that peripheral CD4⁺ NKT cells were substantially depleted and dysfunctional by 4 months after HIV infection. The depletion of CD4⁺ NKT cells was more marked than the depletion of total CD4⁺ T cells. Further, the early depletion of NKT cells correlated with CD4⁺ T‐cell decline, but not HIV viral levels. Levels of activated CD4⁺ T cells correlated with the loss of NKT cells. Our studies suggest that the early loss of NKT cells is associated with subsequent immune destruction during HIV infection.