A mathematical model of malaria dynamics with naturally acquired transient immunity in the presence of protected travellers is presented. The qualitative analysis carried out on the autonomous model reveals the existence of backward bifurcation, where the locally asymptotically stable malaria-free and malaria-present equilibria coexist as the basic reproduction number crosses unity. The increased fraction of protected travellers is shown to reduce the basic reproduction number significantly. Particularly, optimal control theory is used to analyse the non-autonomous model, which incorporates four control variables. The existence result for the optimal control quadruple, which minimizes malaria infection and costs of implementation, is explicitly proved. Effects of combining at least any three of the control variables on the malaria dynamics are illustrated. Furthermore, the cost-effectiveness analysis is carried out to reveal the most cost-effective strategy that could be implemented to prevent and control the spread of malaria with limited resources.