The association of contemporary hosts and their parasites might reflect either cospeciation or more recent shifts among existing hosts. Cospeciation implies that lineages of hosts and parasites diverge in parallel at the same time, but testing this prediction requires time-calibrated phylogenies, which are particularly difficult to obtain in organisms that leave few fossils. It has successively become clear that host shifts have been frequent in the evolutionary history of malaria parasites, but dating these host shifts cannot be done without calibrated phylogenies. Hence, it remains unresolved how long contemporary hosts and vectors have been coevolving with their malaria parasites. This review addresses conflicting rate estimates of molecular evolution and suggests research directions to aid dating diversification events in malaria parasites.