Background/Objectives: Child acute malnutrition is a global public health problem, affecting 45 million children under 5 years of age. The World Health Organization recommends monitoring weight gain weekly as an indicator of the correct treatment. However, simplified protocols that do not record the weight and base diagnosis and follow-up in arm circumference at discharge are being tested in emergency settings. The present study aims to use machine learning techniques to predict weight gain based on the socio-economic characteristics at admission for the children treated under a simplified protocol in the Diffa region of Niger. Methods: The sample consists of 535 children aged 6–59 months receiving outpatient treatment for acute malnutrition, for whom information on 51 socio-economic variables was collected. First, the Variable Selection Using Random Forest (VSURF) algorithm was used to select the variables associated with weight gain. Subsequently, the dataset was partitioned into training/testing, and an ensemble model was adjusted using five algorithms for prediction, which were combined using a Random Forest meta-algorithm. Afterward, Receiver Operating Characteristic (ROC) curves were used to identify the optimal cut-off point for predicting the group of individuals most vulnerable to developing low weight gain. Results: The critical variables that influence weight gain are water, hygiene and sanitation, the caregiver’s employment–socio-economic level and access to treatment. The final ensemble prediction model achieved a better fit (R2 = 0.55) with respect to the individual algorithms (R2 = 0.14–0.27). An optimal cut-off point was identified to establish low weight gain, with an Area Under the Curve (AUC) of 0.777 at a value of <6.5 g/kg/day. The ensemble model achieved a success rate of 84% (78/93) at the identification of individuals below <6.5 g/kg/day in the test set. Conclusions: The results highlight the importance of adapting the cut-off points for weight gain to each context, as well as the practical usefulness that these techniques can have in optimizing and adapting to the treatment in humanitarian settings.