Few medical schools and sustained emigration have led to low numbers of doctors in many sub-Saharan African countries. The opportunity to undertake specialty training has been shown to be particularly important in retaining doctors. Yet limited training capacity means that doctors are often sent to other countries to specialise, increasing the risk that they may not return. Expanding domestic training, however, may be constrained by the reluctance of doctors to accept training in their home country. We modelled different policy options in an example country, Malawi, to examine the cost-effectiveness of expanding specialty training to retain doctors in sub-Saharan Africa. We designed a Markov model of the physician labour market in Malawi, incorporating data from graduate tracing studies in 2006 and 2012, a 2013 discrete choice experiment on 148 Malawian doctors and 2015 cost data. A government perspective was taken with a time horizon of 40 years. Expanded specialty training in Malawi or South Africa with increasing mandatory service before training was compared against baseline conditions. The outcome measures were cost per doctor-year and cost per specialist-year spent working in the Malawian public sector. Expanding specialty training in Malawi is more cost-effective than training outside Malawi. At least two years of mandatory service would be more cost-effective, with five years adding the most value in terms of doctor-years. After 40 years of expanded specialty training in Malawi, the medical workforce would be over fifty percent larger with over six times the number of specialists compared to current trends. However, the government would need to be willing to pay at least 3.5 times more per doctor-year for a 5% increase and a third more per specialist-year for a four-fold increase. Greater returns are possible from doctors with more flexible training preferences. Sustained funding of specialty training may improve retention in sub-Saharan Africa.