HIV viruses encode a set of accessory proteins, which are important determinants of virulence due to their ability to manipulate the host cell physiology for the benefit of the virus. Although these viral proteins are dispensable for viral growth in many in vitro cell culture systems, they influence the efficiency of viral replication in certain cell types. Macrophages are early targets of HIV infection which play a major role in viral dissemination and persistence in the organism. This review focuses on two HIV accessory proteins whose functions might be more specifically related to macrophage infection: Vpr, which is conserved across primate lentiviruses including HIV-1 and HIV-2, and Vpx, a protein genetically related to Vpr, which is unique to HIV-2 and a subset of simian lentiviruses. Recent studies suggest that both Vpr and Vpx exploit the host ubiquitination machinery in order to inactivate specific cellular proteins. We review here why it remains difficult to decipher the role of Vpr in macrophage infection by HIV-1 and how recent data underscore the ability of Vpx to antagonize a restriction factor which counteracts synthesis of viral DNA in monocytic cells.