In sub-Saharan Africa, nutrition research has primarily focused on under-nutrition, particularly among vulnerable children. However, there is increasing evidence of an emerging nutrition transition with extremely high rates of obesity, and malnutrition in women may be a problem that is insufficiently recognized and inadequately documented. This analysis was based on the 2008 Nigerian Demographic and Health Survey (NDHS), which included 27,967 women aged 15–49 years. Individual-level data were collected for socio-demographic characteristics and aggregated to the country’s 37 states. A Bayesian geo-additive mixed model was used to map the geographic distribution of under-nutrition at the state level, accounting for individual-level risk factors. The results reveal that 12.0% of the population were underweight, while 20.9% were either overweight or obese, based on BMI. The northern states of Sokoto and Yobe/Borno and the southern state of Delta had the highest prevalence of underweight, while states in the centre had the lowest underweight prevalence. Underweight women were more likely to be from poorer households compared with their counterparts from the richest wealth index, which were consistently associated with lower odds of being underweight (posterior odds ratio (POR) and 95% credible region (CR): 0.56 [0.46, 0.70]). On the other hand Muslim women (1.61 [1.10, 2.23]), those of traditional religion (2.12 [1.44, 3.00]), those from the Fulani ethnic group (2.90 [1.64, 5.55]) and those living in Yobe state were all consistently associated with higher odds of being underweight. This study demonstrates that underweight is a major public health problem in Nigeria affecting adult females in the northern states of Nigeria. Identifying risk factors and the need to account for sex, spatial and socio-cultural issues are crucial to develop and implement evidence-informed strategies and interventions for lifestyle health promotion.