Women living in areas of intense P. falciparum transmission have acquired substantial protective immunity to malaria when they reach childbearing age. Nevertheless, pregnancies in such areas are associated with substantial malaria-related morbidity and mortality, particularly among women of low parity. The parity-dependency of susceptibility to malaria in pregnant women suggests that protective immunity to this type of malaria can be developed. However, until recently it has been poorly understood why the clinical protection against malaria, which young women in endemic areas acquire well before their first pregnancy, is suddenly rendered inadequate when they become pregnant, only to be regained during the course of a few pregnancies. In this article, I discuss some recent immuno-epidemiological studies of pregnancy-associated malaria, which, in combination with the generally improved understanding of how protective immunity to P. falciparum malaria operates and is acquired, have provided important insights into this enigma.