The geographical distribution of malaria and HIV infections widely overlap in sub-Saharan Africa, constituting a complex global health challenge. The interplay between both infections raises concerns about potential immunological, clinical, and therapeutic interactions. Both diseases have been reported to exacerbate the transmission of the other, including the possible vertical transmission of HIV in pregnant individuals with malaria. Co-infection also increases the risk of adverse outcomes such as severe malaria and death. In addition, interactions between antiretroviral and antimalarial drugs have been reported, potentially reducing the efficacy of these drugs. We review the current knowledge of the epidemiological, clinical, immunological, and therapeutic interactions of both infections. We focus on the latest available data and identify key knowledge gaps that should be addressed to guide policy makers in providing optimal HIV and malaria prevention, care, and treatment in vulnerable populations.