Despite recent changes in the epidemiology of HIV infection and malaria and major improvements in their control, these diseases remain two of the most important infectious diseases and global health priorities. As they have overlapping distribution in tropical areas, particularly sub-Saharan Africa, any of their clinical, diagnostic, and therapeutic interactions might have important effects on patient care and public health policy. The biological basis of these interactions is well established. HIV infection induces cellular depletion and early abnormalities of CD4+ T cells, decreases CD8+ T-cell counts and function (cellular immunity), causes deterioration of specific antigen responses (humoral immunity), and leads to alteration of innate immunity through impairment of cytolytic activity and cytokine production by natural killer cells. Therefore, HIV infection affects the immune response to malaria, particularly premunition in adolescents and adults, and pregnancy-specific immunity, leading to different patterns of disease in HIV-infected patients compared with HIV-uninfected patients. In this systematic review, we collate data on the effects of HIV on malaria and discuss their therapeutic consequences. HIV infection is associated with increased prevalence and severity of clinical malaria and impaired response to antimalarial treatment, depending on age, immunodepression, and previous immunity to malaria. HIV also affects pregnancy-specific immunity to malaria and response to intermittent preventive treatment. Co-trimoxazole (trimethoprim–sulfamethoxazole) prophylaxis and antiretroviral treatment reduce occurrence of clinical malaria; however, these therapies interact with antimalarial drugs, and new therapeutic guidelines are needed for concomitant use.