This paper is devoted to the study of fractional differential equations with Riemann-Liouville fractional derivatives and infinite delay in Banach spaces. The weighted delay is developed to deal with the case of non-zero initial value, which leads to the unboundedness of the solutions. Existence and uniqueness results are obtained based on the theory of measure of non-compactness, Schauder's and Banach's fixed point theorems. As auxiliary results, a fractional Gronwall type inequality is proved, and the comparison property of fractional integral is discussed.