A side valley of the Valtellina, the Valmalenco connects perpendicularly to the main city of Sondrio on the western Rhaetian Alps, moving from the south northwards towards Pizzo Bernina range, the highest in this mountain chain. It borders to the south with the municipalities of Sondrio and Montagna in Valtellina, to the west with the municipalities of Castione Andevenno, Buglio in Monte and Val Màsino, to the north with the Swiss Confederation, and to the east with the municipalities of Chiuro and once again with Montagna in Valtellina.

The Valmalenco is crossed by the Mallero river, which flows into the River Adda at Sondrio, and by numerous tributaries including the Lanterna and the Torreggio.

The Ecomuseum of the Valmalenco covers a territory consisting of five municipalities, which form the boundary of the valley: