We examined the relationship between insecticide-treated mosquito nets (ITNs), malaria parasite infection, and severe anemia prevalence in children in Luangwa District, Zambia, an area with near-universal ITN coverage, at the end of the 2008 and 2010 malaria transmission seasons. Malaria parasite infection prevalence among children < 5 years old was 9.7% (95% confidence interval [CI] = 8.0-11.4%) over both survey years. Prevalence of severe anemia among children 6-59 months old was 6.9% (95% CI = 5.4-8.5%) over both survey years. Within this context of near-universal ITN coverage, we were unable to detect a significant association between malaria parasite or severe anemia prevalence and ITNs (possession and use). In addition to maintaining universal ITN coverage, it will be essential for the malaria control program to achieve high ITN use and laboratory diagnosis and treatment of all fevers among all age groups to further reduce the malaria burden in this area.