Empirical evidence suggests that the health outcomes of children living in slums are poorer than those living in non-slums and other urban areas. Improving health especially among children under five years old (U5y) living in slums, requires a better understanding of the social determinants of health (SDoH) that drive their health outcomes. Therefore, we aim to investigate how SDoH collectively affects health outcomes of U5y living in Bangladesh slums through an intersectionality lens. We used data from the most recent national Urban Health Survey (UHS) 2013 covering urban populations in Dhaka, Chittagong, Khulna, Rajshahi, Barisal, Sylhet, and Rangpur divisions. We applied multilevel analysis of individual heterogeneity and discriminatory accuracy (MAIHDA) to estimate the Discriminatory Accuracy (DA) of the intersectional effects estimates using Variance Partition Coefficient (VPC) and the Area Under the Receiver Operating Characteristic Curve (AUC-ROC). We also assessed the Proportional Change in Variance (PCV) to calculate intersectional effects. We considered three health outcomes: cough, fever, and acute respiratory infections (ARI) in U5y.We found a low DA for cough (VPC = 0.77%, AUC-ROC = 61.90%), fever (VPC = 0.87%, AUC-ROC = 61.89%) and ARI (VPC = 1.32%, AUC-ROC = 66.36%) of intersectional strata suggesting that SDoH considered do not collectively differentiate U5y with a health outcome from those with and without a health outcome. The PCV for cough (85.90%), fever (78.42%) and ARI (69.77%) indicates the existence of moderate intersectional effects. We also found that SDoH factors such as slum location, mother’s employment, age of household head, and household’s garbage disposal system are associated with U5y health outcomes. The variables used in this analysis have low ability to distinguish between those with and without health outcomes. However, the existence of moderate intersectional effect estimates indicates that U5y in some social groups have worse health outcomes compared to others. Therefore, policymakers need to consider different social groups when designing intervention policies aimed to improve U5y health outcomes in Bangladesh slums.