Radiation‐attenuated sporozoites induce sterilizing immunity and remain the 'gold standard' for malaria vaccine development. Despite practical challenges in translating these whole sporozoite vaccines to large‐scale intervention programmes, they have provided an excellent platform to dissect the immune responses to malaria pre‐erythrocytic (PE) stages, comprising both sporozoites and exoerythrocytic forms. Investigations in rodent models have provided insights that led to the clinical translation of various vaccine candidates—including RTS,S/AS01, the most advanced candidate currently in a trial implementation programme in three African countries. With advances in immunology, transcriptomics and proteomics, and application of lessons from past failures, an effective, long‐lasting and wide‐scale malaria PE vaccine remains feasible. This review underscores the progress in PE vaccine development, focusing on our understanding of host‐parasite immunological crosstalk in the tissue environments of the skin and the liver. We highlight possible gaps in the current knowledge of PE immunity that can impact future malaria vaccine development efforts.