Malaria is a major cause of morbidity and mortality in children under the age of five worldwide. Although various malaria elimination measures have been implemented over the past decades, malaria remains a serious threat to public health, especially in tropical and subtropical areas. Ethiopia has set targets for eliminating malaria by 2030. No research has been conducted in the study area concerning malaria among children, who are the most malaria-prone segment of a community. The purpose of this study was to assess malaria prevalence and the factors associated with it among children under five years of age who attended the Sheko Health Center, Southwest Ethiopia, from June 1 to October 30, 2022. An institutional-based cross-sectional study was employed from June 1 to October 30, 2022, at the Sheko Health Center. Capillary blood samples were collected from 286 randomly selected symptomatic children. Data on socio-demographics and associated factors were collected using a pre-tested structured questionnaire, and data on parents' and guardians' knowledge about malaria was recorded on Excel 2016 Spreadsheets after interviewing them, and their responses were presented by a frequency table. Data were entered into Epi Data Manager (v4.0.2.101) and analyzed using the Statistical Package for Social Sciences (SPSS) version 25. Associated factors of malaria were analyzed using bivariate and multivariable logistic regression, and statistical significance was set at P < 0.05. Overall, 23.4% (95% CI = 18.6-28.8%) malaria infection was recorded among the children whose blood samples were examined, with Plasmodium falciparum, Plasmodium vivax, and mixed infections (both species) representing 52.2%, 34.3%, and 13.4% of the cases, respectively. The majority of the parents or guardians believed that malaria is transmissible but could be prevented, and 80% of them considered mosquito bites to be the main mode of malaria transmission. Insecticide-treated net (ITN) was mentioned as a malaria prevention strategy by more than half of the respondents, while indoor residual spraying (IRS) was considered only by 19.6%. Based on multivariable logistic regression analysis, a significant association was found in children between the ages of 12 and 36 months (adjusted odds ratio = 5.050; 95% CI: 1.964-12.982), children who lived in rural areas (adjusted odds ratio = 2.901; 95% CI: 1.439-5.845), and children who did not use ITN the past two weeks before sample collection (adjusted odds ratio = 3.341; 95% CI: 1.646-6.781). This study revealed a high malaria prevalence among children aged under five years. Attention must be paid to improving the coverage of the ITN and its use in the study area, which could help reduce the risk of mosquito bites. Health education for the guardians of the children could also help to raise awareness about the prevention and control strategies for malaria transmission and further reduce the impact of the disease.