Although consequences of malaria in pregnancy are well known, the period of pregnancy in which infection has the highest impact is still unclear. In Benin, we followed up a cohort of 1,037 women through pregnancy until delivery. The objective was to evaluate the relationship between the timing of infection and birth weight, and maternal anemia at delivery. At the beginning of pregnancy, peripheral infections were associated with a decrease in mean birth weight (−98.5 g; P = 0.03) and an increase in the risk of anemia at delivery (adjusted odds ratio [aOR] = 1.6; P = 0.03). Infections in late pregnancy were related to a higher risk of maternal anemia at delivery (aOR = 1.7; P = 0.001). To fully protect the women during the whole pregnancy, already implemented measures (insecticide-treated nets and intermittent preventive treatment) should be reinforced. In the future, a vaccine against pregnancy-associated malaria parasites could protect the women in early pregnancy, which seems to be a high-risk period.