Malnutrition refers to a person’s status as under- or overnourished, and it is usually associated with an inflammation status, which can subsequently imply a different health status, as the risk of infection is increased, along with a deterioration of the immune system. Children’s immune systems are generally more susceptible to problems than adults. In the situation of malnutrition, because malnourished children’s immune systems are compromised, they are more likely to die. However, little is known about the underlying mechanism of altered immune functioning and how it relates to starvation. Nutritional interventions have been reported as cost-effective strategies to prevent or treat the development of malnourishment, considering the link between food intake and health, especially in children, and also the susceptibility of this population to diseases and how their health status during childhood might affect their long-term physiological growth. The ingestion of specific nutrients (e.g., vitamins or oligoelements) has been reported to contribute to the proper functioning of children’s immune systems. In this review, we aim to describe the basis of malnutrition and how this is linked to the immune system, considering the role of nutrients in the modulation of the immune system and the risk of infection that can occur in these situations in children, as well as to identify nutritional interventions to improve their health.