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Climatic factors influence malaria transmission via the effect on the Anopheles vector and Plasmodium parasite. Modelling and understanding the complex effects that climate has on malaria incidence can enable important early warning capabilities. Deep learning applications across fields are proving valuable, however the field of epidemiological forecasting is still in its infancy with a lack of applied deep learning studies for malaria in southern Africa which leverage quality datasets. Using a novel high resolution malaria incidence dataset containing 23 years of daily data from 1998 to 2021, a statistical model and XGBOOST machine learning model were compared to a deep learning Transformer model by assessing the accuracy of their numerical predictions. A novel loss function, used to account for the variable nature of the data yielded performance around + 20% compared to the standard MSE loss. When numerical predictions were converted to alert thresholds to mimic use in a real-world setting, the Transformer's performance of 80% according to AUROC was 20–40% higher than the statistical and XGBOOST models and it had the highest overall accuracy of 98%. The Transformer performed consistently with increased accuracy as more climate variables were used, indicating further potential for this prediction framework to predict malaria incidence at a daily level using climate data for southern Africa. [ABSTRACT FROM AUTHOR]