Malassezia is a lipid-dependent genus of yeasts known for being an important part of the skin mycobiota. These yeasts have been associated with the development of skin disorders and cataloged as a causal agent of systemic infections under specific conditions, making them opportunistic pathogens. Little is known about the host–microbe interactions of Malassezia spp., and unraveling this implies the implementation of infection models. In this mini review, we present different models that have been implemented in fungal infections studies with greater attention to Malassezia spp. infections. These models range from in vitro (cell cultures and ex vivo tissue), to in vivo (murine models, rabbits, guinea pigs, insects, nematodes, and amoebas). We additionally highlight the alternative models that reduce the use of mammals as model organisms, which have been gaining importance in the study of fungal host–microbe interactions. This is due to the fact that these systems have been shown to have reliable results, which correlate with those obtained from mammalian models. Examples of alternative models are Caenorhabditis elegans, Drosophila melanogaster, Tenebrio molitor, and Galleria mellonella. These are invertebrates that have been implemented in the study of Malassezia spp. infections in order to identify differences in virulence between Malassezia species.