We prospectively followed up a population-based cohort of 767 rural Malawian children from birth to 36 months to characterise the timing and predictors of malnutrition. Underweight and wasting incidence peaked between 6 and 18 months of age, whereas stunting incidence was highest during the first 6 months of age. After infancy about 40% of the children were underweight, 70% stunted, and about 4% wasted. Small size during the first 3 months of life predicted the incidence of severe underweight (relative risk [95% confidence interval], 1.8 [0.9, 3.4]), severe stunting ( 2.1 [1.3, 3.4]), and moderate wasting (2.0 [1.1, 3.5]). Children with many illness episodes in infancy had a twofold risk for the development of severe underweight and moderate wasting. Severe underweight was further predicted by residence far away from a health facility and moderate wasting by maternal HIV infection. Our conclusion is that the intrauterine period and first 6 months of life are critical for the development of stunting whereas the subsequent year is more critical for the development of underweight and wasting. Strategies combating intrauterine growth retardation, maternal HIV and infant morbidity are likely to reduce the burden of malnutrition in this population.