The direction and magnitude of movement by the malaria vector Anopheles gambiae Giles has been of great interest to medical entomologists for over 70 years. This direction of movement is likely to be affected by many factors, from environmental conditions and stage of life history of the mosquito to the existence of attractants in the vicinity. We report here the direction of movement of newly emerged An. gambiae in nature, around the village of Donéguébougou, Mali. We assessed the direction of movement for individual mosquitoes by placing them in a novel enclosure with exit traps oriented in the direction of the cardinal and intermediate points of the compass. We consistently found predominantly Southward directions of movement during 2009 and 2010, with an additional Eastward component during the dry season and a Westward one during the wet season. Our data indicate that wind has an important effect on the direction of movement, but that this effect varied by season: Average directions of movement were downwind during the dry season and upwind during the wet season. A switch in anemotactic response suggests that the direction of movement of An. gambiae relative to the wind immediately after emergence under varying conditions of humidity should be further investigated under controlled conditions.