The relationship between malaria infection and malnutrition is complex. Using data from a randomized controlled trial of 450 children 0-5 years of age in Burkina Faso, we examined the effect of malaria infection on short-term changes in anthropometric measures, the effect of malnutrition on malaria infection, and whether age modified the effect of baseline anthropometric measures on malaria infection. Malaria infection, assessed by blood smear microscopy and weight, height, mid-upper arm circumference, height-for-age z-score, weight-for-age z-score, and weight-for-height z-score were measured at three time points: baseline, 2 weeks, and 6 months. We used generalized estimating equations adjusted for sex, age, breastfeeding, maternal education, and study treatment (azithromycin versus placebo) for all analyses. Interaction terms were used to assess effect modification by age. Among the 366 children with no malaria infection at baseline, 43 (11.6%) had malaria infection within 6 months. There were no important differences in anthropometric measures at 2 weeks and 6 months between those with and without malaria infection at baseline. There were no significant differences in prevalence of malaria infection by baseline anthropometric measures. Age (0-30 months versus 30-60 months) modified the effect of baseline weight and height on malaria infection. Among those aged 0-30 months, for each kilogram increase in weight, malaria infection increased by 27% (95% CI: 6-53%), and for each centimeter increase in height, it increased by 9% (95% CI: 1-17%), but there were no differences for those aged 30-60 months.