Background: Malaria kills almost 1 million people every year, but the mechanisms behind protective immunity against the disease are still largely unknown. Methodology/Principal Findings: In this study, surface plasmon resonance technology was used to evaluate the affinity (measured as kd) of naturally acquired antibodies to the Plasmodium falciparum antigens MSP2 and AMA1. Antibodies in serum samples from residents in endemic areas bound with higher affinities to AMA1 than to MSP2, and with higher affinities to the 3D7 allele of MSP2-3D7 than to the FC27 allele. The affinities against AMA1 and MSP2-3D7 increased with age, and were usually within similar range as the affinities for the monoclonal antibodies also examined in this study. The finding of MSP2-3D7 type parasites in the blood was associated with a tendency for higher affinity antibodies to both forms of MSP2 and AMA1, but this was significant only when analyzing antibodies against MSP2-FC27, and individuals infected with both allelic forms of MSP2 at the same time showed the highest affinities. Individuals with the highest antibody affinities for MSP2-3D7 at baseline had a prolonged time to clinical malaria during 40 weeks of follow-up, and among individuals who were parasite positive at baseline higher antibody affinities to all antigens were seen in the individuals that did not experience febrile malaria during follow up. Conclusions/Significance: This study contributes important information for understanding how immunity against malaria arises. The findings suggest that antibody affinity plays an important role in protection against disease, and differs between antigens. In light of this information, antibody affinity measurements would be a key assessment in future evaluation of malaria vaccine formulations.