Transgenerational effects of infection have a huge potential to influence the prevalence and intensity of infections in vectors and, by extension, disease epidemiology. These transgenerational effects may increase the fitness of offspring through the transfer of protective immune factors. Alternatively, however, infected mothers may transfer the costs of infection to their offspring. Although transgenerational immune protection has been described in a dozen invertebrate species, we still lack a complete picture of the incidence and importance of transgenerational effects of infection in most invertebrate groups. The existence of transgenerational infection effects in mosquito vectors is of particular interest because of their potential for influencing parasite prevalence and intensity and, by extension, disease transmission. Here we present what we believe to be the first study on transgenerational infection effects in a mosquito vector infected with malaria parasites. The aim of this experiment was to quantify both the benefits and the costs of having an infected mother. We find no evidence of transgenerational protection in response to a Plasmodium infection. Having an infected mother does, however, entail considerable fecundity costs for the offspring: fecundity loss is three times higher in infected offspring issued from infected mothers than in infected offspring issued from uninfected mothers. We discuss the implications of our results and we call for more studies looking at transgenerational effects of infection in disease vectors.