Objectives: No consensus currently exists on the indications for Pneumocystis jirovecii prophylaxis in patients with inflammatory or autoimmune diseases. The main objective was to identify biomarkers associated with P. jirovecii pneumonia (PCP) in this population. Methods: A retrospective study was carried out at Beijing Union Medical College Hospital (2003–2014). All patients with an inflammatory or autoimmune disease presenting with acute onset of fever and respiratory symptoms were included. Results: A total of 123 patients were included, of whom 42% had confirmed PCP, 18% had possible PCP, and 40% were negative for PCP. Immunosuppressive conditions consisted mostly of diffuse connective tissue disease (50%) and primary nephropathy (20%). Immunosuppressive therapies consisted of corticosteroids (95%) with concomitant non-steroidal drugs (80%). Independent predictors of PCP were a CD3+ cell count <625 × 106/l, serum albumin <28 g/l, and PaO2/FiO2 <210. Furthermore, 90% of patients with PCP had a CD3+ cell count <750 × 106/l. Independent predictors of mortality were a CD8+ cell count <160 × 106/l and a PaO2/FiO2 <160. Conclusions: In patients with inflammatory and autoimmune conditions receiving immunosuppressive therapy, low CD3+ and CD8+ cell counts were strongly associated with PCP and its mortality. These results suggest that lymphocyte subtyping is a very useful tool to optimize the selection of patients needing prophylaxis.