The nutritional status of under-five-year-old children is a sensitive indicator of a country’s health status as well as economic condition. The objectives of this study were to analyse trends in the nutritional status in Bangladeshi children over the period 1996–2007 and to examine the associations between nutritional and socioeconomic status variables. Bangladesh Demographic Health Surveys (BDHS) were the source of data, and a total of 16,278 children were examined. The Z-scores of the children were analysed as continuous as well as categorical variables (stunted, underweight and wasted). The socioeconomic status variables used were region, urban–rural residence, education and occupation of the parents, house type and household possession score. A series of General Linear Model and Sequential Linear and Binary Logistic Regression analyses were done to assess the relationship between demographic and socioeconomic variables and nutritional status. The trends of Z-scores were analysed by survey, as well as by child birth cohort. Region, house type, educational level of parents and household possession score showed significant associations with all three Z-scores of children after removing the effects of age, period of DHS and other explanatory variables in the model. No significant sex difference was observed between any of the Z-scores. There were improvements in mean WAZ and HAZ between 1996 and 2007 but deterioration in mean WHZ over this period. The obesity rate was below 2% in 2007, although the absolute numbers of obese children had nearly doubled in this 12-year period. Children from poorer households showed greater improvement than their better-off counterparts. The study reveals that over the years there has been substantial improvement in nutritional status of under-five children in Bangladesh and the main gains have been amongst the lower socioeconomic groups; it is also evident that malnutrition in Bangladesh is a multidimensional problem, like poverty itself, and warrants a proper policy mix and programme intervention.