Malle was born into a wealthy family in Thumeries, Nord, France.

He initially studied political science at the Sorbonne before turning to film studies instead. He worked as an assistant to Jacques Cousteau on the documentary The Silent World (1956) and assisted Robert Bresson on A Man Escaped (1956) before making his first feature, Ascenseur pour l'échafaud (Frantic, re-released in 2005 as Elevator to the Gallows) in 1957.

Malle's Les Amants (1958), which like Ascenseur pour l'échafaud starred Jeanne Moreau, caused some controversy due to its sexual content. These and other early films such as Zazie dans le métro (1960, an adaptation of the Raymond Queneau novel) associated him with the nouvelle vague. Other films also tackled taboo subjects: Le Feu Follet (The Fire Within, 1963) centres on a man about to commit suicide, Le souffle au cœur (1971) deals with an incestuous relationship between mother and son and Lacombe Lucien (1974) is about French collaboration and resistance in World War II.

Malle later moved to Hollywood and continued to direct there. His later films include Pretty Baby (1978), Atlantic City (1981), My Dinner with Andre (1981), Au revoir, les enfants (1987), Milou en Mai (May Fools, 1990), Damage (1992), and Vanya on 42nd Street (1994, an adaptation of Anton Chekhov's play Uncle Vanya).

Malle was married to Anne-Marie Deschodt from 1965 - 1967. He later married the actress Candice Bergen in 1981. They had a daughter, Chloe Malle, in 1985.

He also has a son, Manuel Cuotemoc (born 1971), with former girlfriend Gila von Weitershausen.

He died at his home in Beverly Hills of lymphoma, aged 63.