Prefix normal words are binary words that have no factor with more 1s than the prefix of the same length. Finite prefix normal words were introduced in [Fici and Lipták, DLT 2011]. In this paper, we study infinite prefix normal words and explore their relationship to some known classes of infinite binary words. In particular, we establish a connection between prefix normal words and Sturmian words, between prefix normal words and abelian complexity, and between prefix normality and lexicographic order.