The malaria parasites (Apicomplexa: Haemosporida) of birds are believed to have diversified across the avian host phylogeny well after the origin of most major host lineages. Although many symbionts with direct transmission codiversify with their hosts, mechanisms of species formation in vector-borne parasites, including the role of host shifting, are poorly understood. Here, we examine the hosts of sister lineages in a phylogeny of 181 putative species of malaria parasites of New World terrestrial birds to determine the role of shifts between host taxa in the formation of new parasite species. We find that host shifting, often across host genera and families, is the rule. Sympatric speciation by host shifting would require local reproductive isolation as a prerequisite to divergent selection, but this mechanism is not supported by the generalized host-biting behavior of most vectors of avian malaria parasites. Instead, the geographic distribution of individual parasite lineages in diverse hosts suggests that species formation is predominantly allopatric and involves host expansion followed by local host–pathogen coevolution and secondary sympatry, resulting in local shifting of parasite lineages across hosts.