The prognostic nutritional index (PNI), controlling nutritional status (CONUT) score and nutritional risk index (NRI) have been described as useful screening tools for patient prognosis in several diseases. The aim of this study was to examine the relationship between PNI, CONUT and NRI with clinical disease activity and damage in 173 patients with systemic lupus erythematous (SLE). Disease activity was assessed with the SLE disease activity index (SLEDAI-2K), and disease-related organ damage was assessed using the SLICC/ACR damage index (SDI) damage index. PNI and NRI were significantly lower in active SLE patients than in inactive SLE patients (p < 0.001 and p = 0.012, respectively). PNI was inversely correlated with the SLEDAI score (p < 0.001) and NRI positively correlated with SLEDAI and SDI scores (p = 0.027 and p < 0.001). Linear regression analysis adjusting for age, sex and medications showed that PNI was inversely correlated with SLEDAI (β (95% CI) = −0.176 (−0.254, −0.098), p < 0.001) and NRI positively correlated with SLEDAI (β (95% CI) = 0.056 (0.019, 0.093), p = 0.003) and SDI (β (95% CI) = 0.047 (0.031, 0.063), p < 0.001). PNI (odds ratio (OR) 0.884, 95% confidence interval (CI) 0.809–0.967, p = 0.007) and NRI ((OR) 1.067, 95% CI 1.028–1.108, p = 0.001) were independent predictors of active SLE. These findings suggest that PNI and NRI may be useful markers to identify active SLE in clinical practice.