Malnutrition, which encompasses under- and overnutrition, is responsible for an enormous morbidity and mortality burden globally. Malnutrition results from disordered nutrient assimilation but is also characterized by recurrent infections and chronic inflammation, implying an underlying immune defect. Defects emerge before birth via modifications in the immunoepigenome of malnourished parents, and these may contribute to intergenerational cycles of malnutrition. This review summarizes key recent studies from experimental animals, in vitro models, and human cohorts, and proposes that immune dysfunction is both a cause and a consequence of malnutrition. Focusing on childhood undernutrition, we highlight gaps in current understanding of immune dysfunction in malnutrition, with a view to therapeutically targeting immune pathways as a novel means to reduce morbidity and mortality.