Over 200 million people worldwide suffer from malaria every year, a disease that causes 584,000 deaths annually. In recent years, significant improvements have been achieved on the treatment of severe malaria, with intravenous artesunate proving superior to quinine. However, mortality remains high, at 8% in children and 15% in adults in clinical trials, and even worse in the case of cerebral malaria (18% and 30%, respectively). Moreover, some individuals who do not succumb to severe malaria present long-term cognitive deficits. These observations indicate that strategies focused only on parasite killing fail to prevent neurological complications and deaths associated with severe malaria, possibly because clinical complications are associated in part with a cerebrovascular dysfunction. Consequently, different adjunctive therapies aimed at modulating malaria pathophysiological processes are currently being tested. However, none of these therapies has shown unequivocal evidence in improving patient clinical status. Recently, key studies have shown that gaseous therapies based mainly on nitric oxide (NO), carbon monoxide (CO), and hyperbaric (pressurized) oxygen (HBO) alter vascular endothelium dysfunction and modulate the host immune response to infection. Considering gaseous administration as a promising adjunctive treatment against severe malaria cases, we review here the pathophysiological mechanisms and the immunological aspects of such therapies.