Helminths aggravate anemia and malnutrition among school children. We studied this association in a cross-sectional study of 6- to 23-month-old Zanzibari children (N = 2322) and a sub-sample of 690 children matched on age and helminth infection status. Ascaris, hookworm, and Trichuris infections were diagnosed along with recent fever, malaria infection, mid-upper arm circumference (MUAC) and hemoglobin concentration (Hb). Alpha-1-acid glycoprotein (AGP), C-reactive protein (CRP), height, and weight were measured in the sub-sample. Infected children had higher Hb (beta = 5.44 g/L, P < 0.001) and MUAC-for-age Z score (beta = 0.30 Z, P < 0.001) compared with uninfected children after adjusting for covariates. Although helminths were not associated with inflammation, their association with Hb or MUAC-for-age Z score was modified by inflammation. Malaria-infected children were less likely to be infected with helminths (adjusted odds ratios 0.63 [95% confidence interval: 0.49, 0.81]). Non-anemic, better nourished, or non-malaria-infected children may be more exploratory of their environments and therefore increase their exposure to soil-transmitted helminths.