HIV is able to outpace the innate immune response, including that mediated by interferon (IFN), to establish a productive infection. Primary macrophages, however, may be protected from HIV infection by treatment with type I IFN before virus exposure. The ability of HIV to modulate the type I IFN-mediated innate immune response when it encounters a cell that has already been exposed to IFN remains poorly defined. The optimal pretreatment time (12 h) and the most potent HIV-inhibitors (e.g., IFN-α2 and -ω) were identified to investigate the ability of HIV to modulate an established type I IFN response. Gene expression at the level of the entire transcriptome was then compared between primary macrophages treated with type I IFNs, as opposed to treated with IFNs and then infected with HIV. Although HIV was not able to establish a robust infection, the virus was able to downregulate a number of IFN-stimulated genes (ISGs) with a fold change greater than 1.5 (i.e., AXL, IFI27, IFI44, IFI44L, ISG15, OAS1, OAS3, and XAF1). The downregulation of OAS1 by the presence of HIV was confirmed by real-time quantitative polymerase chain reaction. In conclusion, even though HIV replication is significantly inhibited by IFN pretreatment, the virus is able to downregulate the transcription of known antiviral ISGs (e.g., IFI44, ISG15, and OAS1).