In human malaria, transmission intensity is highly dependent on the vectorial capacity and competence of local mosquitoes. Most mosquitoes are dead ends for the parasite, and only limited ranges of Anopheles are able to transmit Plasmodium to humans. Research to understand the determinants of vectorial capacity and competence has greatly progressed in recent years; however, some aspects have been overlooked and the evolutionary pressures that affect them often neglected. Here, we review key factors of vectorial capacity and competence in Anopheles, with a particular focus on the most important malaria vector Anopheles gambiae. We aim to point out selection pressures exerted by Plasmodium on Anopheles to improve its own transmission and discuss how the parasite might shape the vector to its benefit.