The prevalence of stunting, wasting, and underweight are reported separately. However, the data of the multiple anthropometric failures combinations of these conventional indicators are scant. This study attempted to estimate the overall burden of undernutrition among children under 5 years old, using the composite index of anthropometric failure (CIAF), and to explore the correlates. The study used secondary data from the Bangladesh demographic and health surveys (BDHS), undertaken in 2014. CIAF provides an overall prevalence of undernutrition, which gives six mutually exclusive anthropometric measurements of height‐for‐ age, height‐for‐weight, and weight‐for‐age. Multivariable logistic regression was used to explore the correlates of CIAF. The overall prevalence of undernutrition using the CIAF was 48.3% (95% CI [47.1%, 49.5%]) among the children under 5 years old. The prevalence of anthropometric failure due to a combination of both stunting and underweight was 18.2%, wasting and underweight was 5.5%, and wasting, underweight, and stunting was 5.7%. The odds of CIAF were higher among young maternal age, having the poorest socio‐economic status, living in rural areas, higher order of birth, and received no vaccination compared with other counterparts. In Bangladesh, one out of two children has undernutrition, which is preventing the potential of the millions of children. Mothers who gave birth before age 20 living in the rural areas with belonging to lower socio‐economic status and whose children had a higher order of birth and receive no vaccination were observed as the main determinants of undernutrition. Nutrition sensitive interventions along with social protection programmes are crucial to deal the underlying causes of undernutrition.