N-body simulations predict that cold dark matter (CDM) halo-assembly occurs in two phases: (i) a fast-accretion phase with a rapidly deepening potential well; and (ii) a slow-accretion phase characterized by a gentle addition of mass to the outer halo with little change in the inner potential well. We demonstrate, using one-dimensional simulations, that this two-phase accretion leads to CDM haloes of the Navarro, Frenk & White (NFW) form and provides physical insight into the properties of the mass-accretion history that influence the final profile. Assuming that the velocities of CDM particles are effectively isotropized by fluctuations in the gravitational potential during the fast-accretion phase, we show that gravitational collapse in this phase leads to an inner profile ρ(r) ∝r−1. Slow accretion on to an established potential well leads to an outer profile with ρ(r) ∝r−3. The concentration of a halo is determined by the fraction of mass that is accreted during the fast-accretion phase. Using an ensemble of realistic mass-accretion histories, we show that the model predictions of the dependence of halo concentration on halo formation time and, hence, the dependence of halo concentration on halo mass, and the distribution of halo concentrations all match those found in cosmological N-body simulations. Using a simple analytic model that captures much of the important physics, we show that the inner r−1 profile of CDM haloes is a natural result of hierarchical mass assembly with an initial phase of rapid accretion.