<b><i>Objective:</i></b> In Germany, there is an ongoing concern about the high prevalence of underweight on admission to health-care institutions. In order to assess possible sex-specific differences, the aim of this study is to provide valid figures about the prevalence and risk factors of underweight of men and women in German nursing homes. <b><i>Material and Methods:</i></b> A secondary data analysis of 8 annual consecutive cross-sectional studies of 19,686 residents from 280 nursing homes was conducted from 2009 to 2016. Underweight was defined as BMI < 18.5 (<20) for individuals <65 years (≥65 years). For statistical modeling, we used classification and regression trees (CRTs) and random forest in “R.” <b><i>Results:</i></b> Average prevalence of underweight in nursing home residents was 13.7% (13.2–14.2). Initial descriptive results showed that the prevalence of underweight among women was 15.6% (15.0–16.2) and the prevalence of underweight among men was 7.5% (6.7–8.2). The CRT-based modeling indicated that “loss of appetite” as the most important indicator for low BMI. If “loss of appetite” was present, prevalence of underweight increased from 13.5 to 39.1%. Other important indicators were “very large institutions” and the “resident/nurse ratio.” The random forest analysis confirmed the importance of the CRT approach. <b><i>Discussion/Conclusion:</i></b> The multivariate approach revealed that the role of sex for being underweight in nursing homes is marginal. To avoid higher morbidity and mortality in this group, nutritional intervention by clinical practitioners to increase appetite should be given high priority, especially in large long-term care institutions.