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Introduction: Several HIV risk scores have been developed to identify individuals for prioritized HIV prevention in sub‐Saharan Africa. We systematically reviewed HIV risk scores to: (1) identify factors that consistently predicted incident HIV infection, (2) review inclusion of community‐level HIV risk in predictive models and (3) examine predictive performance. Methods: We searched nine databases from inception until 15 February 2021 for studies developing and/or validating HIV risk scores among the heterosexual adult population in sub‐Saharan Africa. Studies not prospectively observing seroconversion or recruiting only key populations were excluded. Record screening, data extraction and critical appraisal were conducted in duplicate. We used random‐effects meta‐analysis to summarize hazard ratios and the area under the receiver‐operating characteristic curve (AUC‐ROC). Results: From 1563 initial search records, we identified 14 risk scores in 13 studies. Seven studies were among sexually active women using contraceptives enrolled in randomized‐controlled trials, three among adolescent girls and young women (AGYW) and three among cohorts enrolling both men and women. Consistently identified HIV prognostic factors among women were younger age (pooled adjusted hazard ratio: 1.62 [95% confidence interval: 1.17, 2.23], compared to above 25), single/not cohabiting with primary partners (2.33 [1.73, 3.13]) and having sexually transmitted infections (STIs) at baseline (HSV‐2: 1.67 [1.34, 2.09]; curable STIs: 1.45 [1.17; 1.79]). Among AGYW, only STIs were consistently associated with higher incidence, but studies were limited (n = 3). Community‐level HIV prevalence or unsuppressed viral load strongly predicted incidence but was only considered in 3 of 11 multi‐site studies. The AUC‐ROC ranged from 0.56 to 0.79 on the model development sets. Only the VOICE score was externally validated by multiple studies, with pooled AUC‐ROC 0.626 [0.588, 0.663] (I2: 64.02%). Conclusions: Younger age, non‐cohabiting and recent STIs were consistently identified as predicting future HIV infection. Both community HIV burden and individual factors should be considered to quantify HIV risk. However, HIV risk scores had only low‐to‐moderate discriminatory ability and uncertain generalizability, limiting their programmatic utility. Further evidence on the relative value of specific risk factors, studies populations not restricted to "at‐risk" individuals and data outside South Africa will improve the evidence base for risk differentiation in HIV prevention programmes. PROSPERO Number: CRD42021236367 [ABSTRACT FROM AUTHOR]