In 2013, Tanzania adopted the World Health Organization’s Option B+ guidelines for prevention of mother-to-child transmission of HIV (PMTCT), whereby all HIV-infected pregnant women initiate lifelong antiretroviral therapy. This study examined retention in PMTCT across critical junctures in the care continuum. This was a retrospective study of patient-level data for a cohort of women enrolled in PMTCT during the first year of Option B+ in Tanzania. Retention in care was described across three periods: (1) the first month of antenatal care (ANC), (2) pregnancy, and (3) the postpartum period. Logistic regression was used to identify factors associated with loss to follow up (LTFU) during the first month of ANC. Survival analyses were used to identify factors associated with LTFU during pregnancy and the postpartum periods. 650 participants were included in the cohort; 262 (40.3%) were newly diagnosed with HIV. Two years after delivery, 383/650 (58.7%) were LTFU. Of the 383 LTFU, 73 (19.1%) were lost during the first month of ANC, 44 (11.5%) during pregnancy, and 266 (69.5%) after delivery. Being newly diagnosed with HIV predicted higher LTFU during the first month of ANC (aOR 1.76; 95% CI 1.06–2.94) and faster time to LTFU during the postpartum period (adjusted relative time, 0.68; 95% CI 0.51–0.89). High LTFU occurred across the PMTCT continuum, including immediately after enrollment into ANC and the postpartum period. Ongoing research is needed to encourage treatment uptake and sustained engagement after delivery.