Background: Patients in our environment sometimes discharge themselves against medical advice. Many of them do this due to the cost of treatment and a belief in the efficacy of traditional bone setters (TBS). This is the first multi-center study in our environment comparing the differences across ethnic groups, religions, and geographical regions. Aim: The study aimed to hightlight the burden of DAMA among patients with musculoskeletal injuries. Patients, Materials and Methods: This was a health facility-based cross-sectional study of patients with musculoskeletal injuries who presented to the Accident and Emergency departments of five selected health facilities across Nigeria over a six-month period. Results: A total of 601 patients were enrolled in this study. One hundred and ninety-four (32.3%) respondents discharged themselves against medical advice and the major reason given for the discharge against medical advice (DAMA) was the cost of treatment (49.1%) and a preference for the care given by TBS by relatives (33.5%) and the respondents (29.8%). The educational status of respondents, ethnic group, and access to health insurance, duration of admission, and frequency of fractures were predictors of DAMA. Respondents with postgraduate qualifications were much less likely to DAMA, adjusted odds ratio 0.36; confidence interval: 0.15–0.86, P = 0.021. Furthermore, respondents from Ibibio, Fulani, and Tiv ethnic groups were 3.79, 2.58, and 2.56 times more likely to DAMA, respectively. Respondents with health insurance coverage were less likely to DAMA. Conclusion: The prevalence rate of DAMA amongst patients with musculoskeletal trauma in Nigerian tertiary hospitals is relatively high. The predictors of DAMA identified in this study call for improvements in education and mandatory health insurance cover. From the findings in this study, reducing out-of-pocket costs to patients may be the most important step in improving access to orthodox treatment of musculoskeletal injuries. Further studies are suggested to determine why some ethnic nationalities had a higher prevalence of DAMA.