When a mosquito bites, it pierces your skin and draws blood with the tip of its straw-like mouth, or proboscis. In the process, the mosquito injects some of its own saliva, which contains an anticoagulant that prevents your blood from clotting around the proboscis and trapping the insect. (Only female mosquitoes, which need the nutrients from blood to produce eggs, bite.)

Your immune system recognizes the proteins in the mosquito’s saliva as a foreign substance and “mounts an immediate attack,” releasing histamine as part of the immune response, said Jonathan Day, a professor of medical entomology at the University of Florida in Vero Beach.

“It’s the histamine reaction that causes the itching,” he said. “It’s just like the reaction when you get pollen in your eyes, and it causes local itching.” The histamine also causes your blood vessels to enlarge, creating the wheal, or swollen bump, around the bite.

Source: Ask Well: Why Do Mosquito Bites Itch? – The New York Times