Malaria increases the burden of anemia in low-income countries, where, according to 2012 data from the World Health Organization, 40% of children are anemic. Moreover, iron is a cofactor for Plasmodium falciparum development, raising fears that iron supplementation might be harmful in patients with P. falciparum infection. The primary objective of this narrative review is to describe current knowledge on the iron–malaria association, including recent findings and substantive qualitative results. Between 2012 and 2016 the MEDLINE database was searched for literature published about malaria and iron levels. Observational studies reported some protection of iron supplementation against malaria among iron-deficient children, while older clinical trials reported increased susceptibility to malaria among iron-supplemented children. However, iron supplements were not significantly associated with increased malaria risk in recent clinical trials or in a 2016 Cochrane review. Evidence of an iron–malaria association is limited by the following factors: the protective effect of control interventions, the limited follow-up of children, and the lack of homogenous iron indicators. The effects of previous health status and possible thresholds in iron levels should be investigated using a gold-standard combination of iron markers. Moreover, the benefits of iron supplementation require further evaluation.