Malaria infection is thought to be relatively infrequent in infants less than 90 days of age in sub-Saharan Africa. In a rural area of Malawi with intense malaria transmission, we examined the occurrence of malaria infection during infancy and risk factors for parasitemia in the first three months of life in the cohort of infants delivered to women in the Mangochi Malaria Research Project. Among 3,915 liveborn singleton infants, 3,432 (87.7%) were seen at least once during infancy (first 12 months of life); of these, malaria blood smear results were available on 2,649 (77.2%). Overall, in a cross-sectional analysis, 23.3% of infants at three months of age were infected with Plasmodium falciparum; this proportion increased to more than 30% during the high transmission season. By the age of 10 months, 60-80% of the infants were infected, depending on the season. Geometric mean parasite density increased each month after two months of age and plateaued at seven months of age. In a life-table analysis, the median time to acquisition of a positive smear was 199 days. Factors independently associated with smear positivity at < 4 months of age included visit during high transmission season (adjusted odds ratio [AOR] = 4.1), maternal smear positivity at the same visit (AOR = 3.5), history of infant fever in the previous two weeks (AOR = 2.8), birth during the rainy season (AOR = 1.7), low socioeconomic status (AOR = 1.6), and low maternal education (AOR = 1.5). The specificity of a recent fever history for malaria infection in early infancy was high (> 70%). Intervention strategies to reduce the risk of early infant infection need to be targeted toward mothers of infants at high risk.