Molecular interactions between a parasite and its host are key to the ability of the parasite to enter the host and persist. Our understanding of the genes and proteins involved in these interactions is limited. To better understand these processes it would be advantageous to have a range of methods to predict pairs of genes involved in such interactions. Correlated gene expression profiles can be used to identify molecular interactions within a species. Here we have extended the concept to different species, showing that genes with correlated expression are more likely to encode proteins, which directly or indirectly participate in host-parasite interaction. We go on to examine our predictions of molecular interactions between the malaria parasite and both its mammalian host and insect vector. Our approach could be applied to study any interaction between species, for example, between a host and its parasites or pathogens, but also symbiotic and commensal pairings.